The following publications are possibly variants of this publication:
- On barrier option pricing in binomial market with transaction costsChao Sun, Jing-Yang Yang, Sheng-Hong Li. amc, 189(2):1505-1516, 2007. [doi]
- A numerical method for pricing European options with proportional transaction costsWen Li, Song Wang. jgo, 60(1):59-78, 2014. [doi]
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume schemeWen Li, Song Wang. cma, 73(11):2454-2469, 2017. [doi]