scientific article; zbMATH DE number 912565

MaRDI QIDQ4887224zbMATH OpenFDO

Authors J. N. Dewynne, A. Elizabeth Whalley, Paul Wilmott

Publication date 1 August 1996

zbMATH Keywords

differential equationsexotic option pricing

Mathematics Subject Classification ID

Recommendations

• Path-dependent options and transaction costs
• European option pricing with transaction costs.
• European Option Pricing with Transaction Costs
• Numerical computation on path dependent European option with fixed trade cost rate
• A study on option pricing with transaction cost when underlying asset pricing is a jump-diffusion process

Cited in

(7)

• On information costs, short sales and the pricing of extendible options, steps and Parisian options
• Numerical computation on path dependent European option with fixed trade cost rate
• On barrier option pricing in binomial market with transaction costs
• Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
• Path-dependent options and transaction costs
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
• On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs

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