An algorithm for the quasivariational inequality arising in option pricing with transaction costs II
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|Date of creation:||01 Jul 2002|
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- Ber� Rustem & Tetsuya Noguchi & Michael Selby, 1999. "Computational Algorithms for Vertical Complementarity Arising in Finance," Computing in Economics and Finance 1999 931, Society for Computational Economics.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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