Somayeh Pourghandar - Azarbaijan Shahid Madani University
Mojtaba Ranjbar - Azarbaijan Shahid Madani University

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.

Nonlinear Black-Scholes equation, European option, Transaction costs