Stationary solutions for two nonlinear Black--Scholes type equations.

DOI10.1016/S0168-9274(03)00070-9zbMath1063.91026MaRDI QIDQ1417603

C. G. Averbuj, Maria Christina Mariani, Pablo Amster

Publication date: 5 January 2004

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricingtransaction costs

Mathematics Subject Classification ID

Related Items (1)

European option pricing with transaction costs in Lévy jump environment

Cites Work

• A Risk-Neutral Stochastic Volatility Model
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