Whalley, A. E.; Wilmott, P. - In: Mathematical Finance 7 (1997) 3, pp. 307-324
Davis, Panas, and Zariphopoulou (1993) and Hodges and Neuberger (1989) have presented a very appealing model for pricing European options in the presence of rehedging transaction costs. In their papers the 'maximization of utility' leads to a hedging strategy and an option value. The latter is...