Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approach

ED Andersen, A Damgaard

Research output: Contribution to journalArticleScientificpeer-review

12 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)395-422
Number of pages28
JournalApplied Numerical Mathematics
Volume29
Issue number3
Publication statusPublished - 1999

Keywords

  • ZX Int.klas.verslagjaar < 2002

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