Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

Vera N. Egorova, S. H. Tan, C.-H. Lai, Rafael Company, Lucas Jódar. Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. Int. J. Comput. Math., 94(2):345-362, 2017. [doi]

Authors

Vera N. Egorova

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S. H. Tan

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C.-H. Lai

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Rafael Company

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Lucas Jódar

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