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"Pricing European options with proportional transaction costs and ..."

Wen Li, Song Wang (2017)

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DOI: 10.1016/J.CAMWA.2017.03.024

access: open

type: Journal Article

metadata version: 2021-02-11

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Wen Li, Song Wang:
Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme. Comput. Math. Appl. 73(11): 2454-2469 (2017)

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