Option pricing with transaction costs and a nonlinear Black-Scholes equation.
Guy BarlesHalil Mete SonerPublished in: Finance Stochastics (1998)
Keyphrases
- black scholes
- transaction costs
- stock exchange
- option pricing
- stock price
- stock market
- numerical methods
- financial data
- financial time series
- differential equations
- black scholes model
- capital budgeting
- decision analysis
- financial markets
- genetic algorithm
- exchange rate
- real option
- fuzzy numbers
- short term
- decision makers
- decision making