{
  "id": "math/0702828",
  "version": "v1",
  "published": "2007-02-27T12:59:43.000Z",
  "updated": "2007-02-27T12:59:43.000Z",
  "title": "Price systems for markets with transaction costs and control problems for some finance problems",
  "authors": [
    "Tzuu-Shuh Chiang",
    "Shang-Yuan Shiu",
    "Shuenn-Jyi Sheu"
  ],
  "comment": "Published 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)",
  "journal": "IMS Lecture Notes Monograph Series 2006, Vol. 52, 257-271",
  "doi": "10.1214/074921706000001094",
  "categories": [
    "math.PR",
    "q-fin.CP"
  ],
  "abstract": "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 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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2007-02-27T12:59:43.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60K35",
      "60K35"
    ],
    "keywords": [
      "price systems",
      "transaction costs",
      "finance problems",
      "stochastic control problem",
      "dynamic programming approach"
    ],
    "tags": [
      "monograph",
      "journal article",
      "lecture notes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2007math......2828C"
    }
  }
}