Lai, Tze Leung; Lim, Tiong Wee - In: Journal of Economic Dynamics and Control 33 (2009) 12, pp. 1945-1961
The problem of option hedging in the presence of proportional transaction costs can be formulated as a singular stochastic control problem. Hodges and Neuberger [1989. Optimal replication of contingent claims under transactions costs. Review of Futures Markets 8, 222-239] introduced an approach...