European Option Pricing with Transaction Costs
Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CFMA03_154
تاریخ نمایه سازی: 16 خرداد 1394
Abstract:
This paper deals with the construction of a nite di erence scheme for a nonlinear Black-Scholes partial di erential equation modelling stock option pricing in the realistic case whentransaction costs arising in the hedging of portfolios are taken into account. The analysedmodel is the Barles-Soner one.
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Authors
Somayeh Pourghandar
Azarbaijan Shahid Madani University
Mojtaba Ranjbar
Azarbaijan Shahid Madani University