Option pricing with transaction costs and stochastic interest rate
Year of publication: |
2014
|
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Authors: | SenGupta, Indranil |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 399-416
|
Subject: | Stochastic interest rate | parabolic PDE | transaction costs | option pricing | classical solution | Optionspreistheorie | Option pricing theory | Transaktionskosten | Transaction costs | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
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