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Pricing of the American option in discrete time under proportional transaction costs.
Marek Kocinski
Published in:
Math. Methods Oper. Res. (2001)
Keyphrases
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transaction costs
option pricing
black scholes model
stock price
stock exchange
portfolio management
markov chain
united states
search costs
portfolio selection
financial markets
news articles
dynamic pricing
transaction cost economics
non stationary
portfolio optimization