Option pricing with transaction costs and stochastic interest rate
Indranil SenGupta
| Year of publication: |
2014
|
|---|---|
| Authors: | SenGupta, Indranil |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 399-416
|
| Subject: | Stochastic interest rate | parabolic PDE | transaction costs | option pricing | classical solution | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010500884