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Option pricing with transaction costs and a nonlinear Black-Scholes equation |
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| Authors: | Guy Barles Halil Mete Soner |
| Institution: | (1) Faculté des Sciences et Techniques, Université de Tours, Parc de Grandmont, F-37200 Tours, France , FR;(2) Department of Mathematics, Carnegie Mellon University, Pittsburgh, PA 15213, USA , US;(3) Department of Mathematics, Bogazici University, Istanbul 80815, Turkey , TR |
| Abstract: | |
| Keywords: | : Transaction costs options viscosity solutions dynamic programming JEL classification: D52 G13 Mathematics Subject Classification (1991): 35K55 90A09 93E20 |
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