A numerical method for European Option Pricing with transaction costs nonlinear equation
نویسندگان
چکیده
منابع مشابه
Option pricing with transaction costs and a nonlinear Black-Scholes equation
In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this article is to quantify this dependence on preferences in the specific example of a European call option. This is achieved by using the utility function a...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2009
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2009.05.019