Option pricing by large risk aversion utility under transaction costs
Year of publication: |
2001
|
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Authors: | Bouchard, Bruno ; Kabanov, Jurij M. ; Touzi, Nizar |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 24.2001, 2, p. 127-136
|
Subject: | Optionspreistheorie | Option pricing theory | Risikoaversion | Risk aversion | Transaktionskosten | Transaction costs | Nutzenfunktion | Utility function | Theorie | Theory | Martingal | Martingale |
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