A numerical method for European Option Pricing with transaction costs nonlinear equation
Author:
Publisher
Elsevier BV
Subject
Computer Science Applications,Modelling and Simulation
Reference21 articles.
1. Option pricing with transaction costs and a nonlinear black–scholes equation;Barles;Finance Stochast,1998
2. Option replication in discrete time with transaction costs;Boyle;J. Finance,1973
3. Option pricing and replication with transactions costs;Leland;J. Finance,1985
4. Limit theorem on option replication with transaction costs;Kusuoka;Ann. Appl. Probab.,1995
5. Dynamic hedging portfolios for derivative securities in the presence of large transaction costs;Avellaneda;Appl. Math. Finance,1994
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