Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs
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References listed on IDEAS
- 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.
- Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
- 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 637-654, May-June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Daniel Ševčovič & Magdaléna Žitňanská, 2016. "Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 153-174, June.
- Daniel Sevcovic & Magdalena Zitnanska, 2016. "Analysis of the nonlinear option pricing model under variable transaction costs," Papers 1603.03874, arXiv.org.
More about this item
KeywordsTransaction costs; Nonlinear partial differential equations; Solvability;
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