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"Moving boundary transformation for American call options with transaction ..."

Vera N. Egorova et al. (2017)

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DOI: 10.1080/00207160.2015.1108409

access: closed

type: Journal Article

metadata version: 2024-05-07

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Vera N. Egorova, S.-H. Tan, C.-H. Lai, Rafael Company, Lucas Jódar:
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. Int. J. Comput. Math. 94(2): 345-362 (2017)

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