ESAIM: Mathematical Modelling and Numerical Analysis (ESAIM: M2AN)

Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Rafael Company, Lucas Jódar and José-Ramón Pintos

ESAIM: M2AN, 43 6 (2009) 1045-1061

Published online: 12 June 2009

DOI: 10.1051/m2an/2009014

Rafael Company

Lucas Jódar

José-Ramón Pintos

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