On a pricing problem for a multi-asset option with general transaction costs

arXiv1704.02036MaRDI QIDQ6285248

Andres P. Mogni, Pablo Amster

Publication date: 6 April 2017

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20)

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