Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Author: Company Rafael   Jódar Lucas   Pintos José-Ramón  

Publisher: Edp Sciences

E-ISSN: 1290-3841|43|6|1045-1061

ISSN: 0764-583x

Source: ESAIM: Mathematical Modelling and Numerical Analysis, Vol.43, Iss.6, 2009-06, pp. : 1045-1061

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