Utility Maximization on the Real Line under Proportional Transaction Costs
Date
2002Dewey
Probabilités et mathématiques appliquéesSujet
option pricing; Transaction costs; utility maximization; reasonable asymptotic elasticity; hedgingJEL code
G11; G13Journal issue
Finance and StochasticsVolume
6Number
4Publication date
2002Article pages
495-516Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Bouchard, Bruno