most citedPrice systems for markets with transaction costs and control problems for some finance problems

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math.PR2007★ 1 cited

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

Tzuu-Shuh Chiang, Shang-Yuan Shiu, Shuenn-Jyi Sheu

In 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…