Keywords: transaction costs; nonlinear partial differential equation; numerical computation
@article{KYB_2007_43_6_a5,
author = {Imai, Hitoshi and Ishimura, Naoyuki and Sakaguchi, Hideo},
title = {Computational technique for treating the nonlinear {Black-Scholes} equation with the effect of transaction costs},
journal = {Kybernetika},
pages = {807--815},
year = {2007},
volume = {43},
number = {6},
mrnumber = {2388395},
zbl = {1213.91160},
language = {en},
url = {http://geodesic.mathdoc.fr/item/KYB_2007_43_6_a5/}
}
TY - JOUR AU - Imai, Hitoshi AU - Ishimura, Naoyuki AU - Sakaguchi, Hideo TI - Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs JO - Kybernetika PY - 2007 SP - 807 EP - 815 VL - 43 IS - 6 UR - http://geodesic.mathdoc.fr/item/KYB_2007_43_6_a5/ LA - en ID - KYB_2007_43_6_a5 ER -
%0 Journal Article %A Imai, Hitoshi %A Ishimura, Naoyuki %A Sakaguchi, Hideo %T Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs %J Kybernetika %D 2007 %P 807-815 %V 43 %N 6 %U http://geodesic.mathdoc.fr/item/KYB_2007_43_6_a5/ %G en %F KYB_2007_43_6_a5
Imai, Hitoshi; Ishimura, Naoyuki; Sakaguchi, Hideo. Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs. Kybernetika, Tome 43 (2007) no. 6, pp. 807-815. http://geodesic.mathdoc.fr/item/KYB_2007_43_6_a5/
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