Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk (Q2945121)
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scientific article; zbMATH DE number 6479828
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| English | Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk |
scientific article; zbMATH DE number 6479828 |
Statements
9 September 2015
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nonlinear Black-Scholes
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Barles-Soner model
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transaction costs
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illiquidity
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finite difference schemes
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0.8804168701171875
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0.8779221177101135
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0.8615788817405701
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0.8565722107887268
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