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Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs

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  • Naoyuki Ishimura

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  • Naoyuki Ishimura, 2010. "Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 241-259, September.
    • Handle: RePEc:kap:apfinm:v:17:y:2010:i:3:p:241-259
    DOI: 10.1007/s10690-010-9115-3
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    References listed on IDEAS

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    1. Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893.
    2. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. 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.
    5. 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.
    6. 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.
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    Cited by:

    1. Daniel Sevcovic & Magdalena Zitnanska, 2016. "Analysis of the nonlinear option pricing model under variable transaction costs," Papers 1603.03874, arXiv.org.

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