UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
Year of publication: |
2014
|
---|---|
Authors: | BAYER, CHRISTIAN ; VELIYEV, BEZIRGEN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 04, p. 1450022-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Utility maximization | binomial model | transaction costs | duality methods |
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