Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs
No abstract is available for this item.
Volume (Year): 17 (2010)
Issue (Month): 3 (September)
|Contact details of provider:|| Web page: http://springerlink.metapress.com/link.asp?id=102851|
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, vol. 47(1), pages 271-93, March.
- Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs,"
Journal of Finance,
American Finance Association, vol. 40(5), pages 1283-1301, December.
- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
- 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, vol. 81(3), pages 637-54, May-June.
When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:17:y:2010:i:3:p:241-259. See general information about how to correct material in RePEc.
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.