Option Pricing in a Market with Frictions-Reference-Cited by-同舟云学术

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Option Pricing in a Market with Frictions

Published:1999 Issue: Volume: Page:521-540
ISSN:
Container-title:Stochastic Analysis, Control, Optimization and Applications
language:
Short-container-title:

Author:

Bensoussan Alain,Julien Hugues

Publisher

Birkhäuser Boston

Link

http://link.springer.com/content/pdf/10.1007/978-1-4612-1784-8_31

Reference3 articles.

1. Bensoussan A. and Lions J.L. (1978) Applications of Variational Inequalities in Stochastic Control, North Holland.

2. Davis, M.H.A., Panas, V.G., Zariphopoulou (1993) European option pricing with transaction costs, SIAM J. Control Optim.

3. Fleming W.H, Rishel R.W. (1975) Deterministic and Stochastic Optimal Control, Springer-Verlag.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal control of ultradiffusion processes with application to mathematical finance;International Journal of Computer Mathematics;2014-03-28

2. Risks and Assets Pricing;Springer Handbook of Engineering Statistics;2006

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