Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 17 (2010)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
Transaction costs; Nonlinear partial differential equations; Solvability;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, American Finance Association, vol. 47(1), pages 271-93, March.
- Hayne E. Leland., 1984.
"Option Pricing and Replication with Transactions Costs,"
Research Program in Finance Working Papers, University of California at Berkeley
144, University of California at Berkeley.
- Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, American Finance Association, vol. 40(5), pages 1283-1301, December.
- A.E. Whalley & P. Wilmott, 1999. "Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure," OFRC Working Papers Series 1999mf09, Oxford Financial Research Centre.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.