Open access peer-reviewed chapter

Singular Stochastic Control in Option Hedging with Transaction Costs

By Tze Leung Lai and Tiong Wee Lim

Submitted: December 21st 2011Reviewed: April 24th 2012Published: November 28th 2012

DOI: 10.5772/46154

Downloaded: 1802

© 2012 The Author(s). Licensee IntechOpen. This chapter is distributed under the terms of the Creative Commons Attribution 3.0 License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Tze Leung Lai and Tiong Wee Lim (November 28th 2012). Singular Stochastic Control in Option Hedging with Transaction Costs, Stochastic Modeling and Control, Ivan Ganchev Ivanov, IntechOpen, DOI: 10.5772/46154. Available from:

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