A variational inequality arising from European option pricing with transaction costs (Q943445)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A variational inequality arising from European option pricing with transaction costs |
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A variational inequality arising from European option pricing with transaction costs (English)
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9 September 2008
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option pricing
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transaction costs
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free boundary
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variational inequality
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gradient constraints
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two obstacles problem
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two free boundaries
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