General indifference pricing with small transaction costs
Author:
Affiliation:
1. CEREMADE, Université Paris Dauphine, France
2. CMAP, Ecole Polytechnique Paris, France
Publisher
IOS Press
Subject
General Mathematics
Reference53 articles.
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3. Asymptotics for fixed transaction costs;Altarovici;Finance and Stochastics,2015
4. Multi-asset portfolio optimization with transaction cost;Atkinson;Applied Mathematical Finance,2004
5. Option pricing with transaction costs and a nonlinear Black–Scholes equation;Barles;Finance and Stochastics,1998
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