Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Price systems for markets with transaction costs and control problems
  for some finance problems   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.

12
The categories of this paper are: nucl-th
20
The categories of this paper are: acc-phys
30
The categories of this paper are: q-alg
8
The categories of this paper are: hep-ex
19
The categories of this paper are: eess
7
The categories of this paper are: hep-th
34
The categories of this paper are: chem-ph
28
The categories of this paper are: alg-geom
27
The categories of this paper are: comp-gas
24
The categories of this paper are: dg-ga
15
The categories of this paper are: nucl-ex
3
The categories of this paper are: physics
16
The categories of this paper are: stat
26
The categories of this paper are: bayes-an
31
The categories of this paper are: ao-sci
23
The categories of this paper are: solv-int