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Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi: WP08/16 Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem
Finite Horizon Optimal Investment and Consumption with Transaction Cost s ⁄ Min Da i yLishang Jiang z Peifan Li y Fahuai Yi x This version: Nov 2008 Abstract This paper concerns continuous ...
A lattice algorithm for pricing moving average barrier options Min Da ia,, Peifan Li a, Jin E. Zhang b a Department of Mathematics, National University of Singapore, Singapore b School of ...
Dai, Min, Peifan Li, and Jin E. Zhang, 2010, A Lattice Algorithm for Pricing Moving Average Barrier Options, Journal of Economic Dynamics and Control, 34 (3), 542-554.
Dai, Min, Peifan Li, and Jin E. Zhang, 2010, A Lattice Algorithm for Pricing Moving Average Barrier Options, Journal of Economic Dynamics and Control, (forthcoming).
Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi: WP08/16 Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem
Finite Horizon Optimal Investment and Consumption with Transaction Cost s Min Da i yLishang Jiang z Peifan Li y Fahuai Yi x This version: Nov 2008 Abstract This paper concerns ...
Min Dai, Peifan Li, and Hong Liu This version: November 19,2008
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