Pricing a European Basket Option in the Presence of Proportional Transaction Costs
Year of publication: |
2006
|
---|---|
Authors: | Atkinson, C. ; Alexandropoulos, C. A. |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 13.2006, 3, p. 191-214
|
Publisher: |
Taylor & Francis Journals |
Subject: | Option pricing | transaction costs | utility function | asymptotic expansion | Hamilton-Jacobi-Bellman equation | closed form solution |
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