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- W2189133722 abstract "In this paper, we consider the nonlinear Black-Scholes equation arising in certain option pricing models with transaction costs. Following the classical Leland approach and applying Ito's Lemma, the stochastic model yields the nonlinear parabolic partial differential equation for the option price which is denoted by V (S,t), @V @t + 1 2 �" @default.
- W2189133722 created "2016-06-24" @default.
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- W2189133722 date "2009-01-01" @default.
- W2189133722 modified "2023-09-25" @default.
- W2189133722 title "A NOTE ON A STATIONARY PROBLEM FOR A BLACK-SCHOLES EQUATION WITH TRANSACTION COSTS" @default.
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