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Singular Stochastic Control in Option Hedging with Transaction Costs

Written By

Tze Leung Lai and Tiong Wee Lim

Submitted: 21 December 2011 Published: 28 November 2012

DOI: 10.5772/46154

From the Edited Volume

Stochastic Modeling and Control

Edited by Ivan Ganchev Ivanov

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Written By

Tze Leung Lai and Tiong Wee Lim

Submitted: 21 December 2011 Published: 28 November 2012