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• W2069697903 abstract "Abstract The paper introduces a financial market model with transactions costs and uncertain volatility. This model is a modification of the well-known Black–Scholes model. The solution to the problem of the pricing of the European call option is obtained by solving a nonlinear parabolic partial differential equation. The presented option pricing formula relates the price of an option to the underlying asset price and the bounds of the volatility of the underlying asset." @default.
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• W2069697903 date "1998-09-01" @default.
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• W2069697903 title "The pricing of options in a financial market model with transaction costs and uncertain volatility" @default.
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• W2069697903 doi "https://doi.org/10.1016/s1042-444x(98)00036-x" @default.
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