Option pricing with transaction costs and a nonlinear Black-Scholes equation
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Publication:1265770
DOI10.1007/s007800050046zbMath0915.35051OpenAlexW2040394324WikidataQ57635988 ScholiaQ57635988MaRDI QIDQ1265770
Publication date: 27 September 1998
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050046
Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
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