Jouini, E.; Koehl, P. -F.; Touzi, N. - In: The European Journal of Finance 3 (1997) 4, pp. 325-347
An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...