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Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs.
Hitoshi Imai
Naoyuki Ishimura
Hideo Sakaguchi
Published in:
Kybernetika (2007)
Keyphrases
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transaction costs
black scholes
stock exchange
numerical methods
stock market
option pricing
stock price
differential equations
machine learning
image segmentation
objective function