Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

Hitoshi Imai, Naoyuki Ishimura, Hideo Sakaguchi. Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs. Kybernetika, 43(6):807-815, 2007. [doi]

Authors

Hitoshi Imai

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Naoyuki Ishimura

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Hideo Sakaguchi

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