Option pricing with transaction costs and a nonlinear Black-Scholes equation (Q1265770)
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scientific article; zbMATH DE number 1202611
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing with transaction costs and a nonlinear Black-Scholes equation |
scientific article; zbMATH DE number 1202611 |
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Option pricing with transaction costs and a nonlinear Black-Scholes equation (English)
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27 September 1998
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viscosity solutions
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dynamic programming
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prices of options
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