Price systems for markets with transaction costs and control problems for some finance problems

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dc.creatorChiang, Tzuu-Shuh
dc.creatorShiu, Shang-Yuan
dc.creatorSheu, Shuenn-Jyi
dc.date2007-02-27
dc.date.accessioned2026-07-07T12:11:22Z
dc.date.available2026-07-07T12:11:22Z
dc.descriptionIn a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to generate the price systems. From this, the price formula of a derivative can be reformulated as a stochastic control problem. Then the dynamic programming approach can be used to calculate the price. We also discuss optimization of expected utility using price systems.
dc.descriptionPublished at http://dx.doi.org/10.1214/074921706000001094 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702828
dc.identifierhttp://arxiv.org/abs/math/0702828
dc.identifierIMS Lecture Notes Monograph Series 2006, Vol. 52, 257-271
dc.identifierdoi:10.1214/074921706000001094
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210199
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60K35, 60K35 (Primary)
dc.titlePrice systems for markets with transaction costs and control problems for some finance problems
dc.typetext

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