Option pricing with transaction costs using a Markov chain approximation

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Performance of utility-based strategies for hedging basis risk (2004, background): “There is a natural definition of a hedging strategy associated with the sale of the claim for the utility indifference ask price, introduced in [15, 16].”
Utility indifference pricing : an overview (2009, background): “Monoyios [64], [65] considers marginal pricing of options under transactions costs and computes the option prices numerically.”
Optimal hedging and parameter uncertainty (2007, methodology): “We consider a basis risk model, involving a traded assetS and a nontraded assetY, following correlated log-Brownian motions, as inDavis(2006), Monoyios(2004b), Henderson(2002) andMusiela & Zariphopoulou(2004).”
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs (2003, unknown): “This phenomenon in the presence of only proportional transaction costs was closely studied in Monoyios (2004) 8 .”