Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers

Applied Numerical Mathematics

Volumn 36, Issue 4, 2001, Pages 427-445

  Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; DECISION MAKING; DECISION THEORY; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; PARTIAL DIFFERENTIAL EQUATIONS;

COST OPTION PRICING MODELS;

RISK MANAGEMENT;

EID: 0034831754     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0168-9274(00)00018-0     Document Type: Article

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