Construction of Shadow Price

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：djsnsd

【摘要】

：

　　Shadow price is constructed for discrete time model with finite horizon with general utility function and general transaction costs.It is the price on marke

【作者】

：

StettnerLukasz;

【机构】

：

Inst.of Mathematics Polish Acad.of Sci.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Shadow price is constructed for discrete time model with finite horizon with general utility function and general transaction costs.It is the price on market without transaction costs such that optimal value of the functional is the same as on the market with proportional transaction costs.

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Construction of Shadow Price

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