OPTION PRICING, TRANSACTION COSTS AND NONLINEARITIES

Authors
WILMOTT P WHALLEY AE
Citation
P. Wilmott et Ae. Whalley, OPTION PRICING, TRANSACTION COSTS AND NONLINEARITIES, Zeitschrift fur angewandte Mathematik und Mechanik, 76, 1996, pp. 85-88
Citations number
8
Categorie Soggetti
Mathematics,"Mathematical Method, Physical Science",Mechanics,Mathematics
Journal title
Zeitschrift fur angewandte Mathematik und Mechanik → ACNP
ISSN journal
00442267
Volume
76
Year of publication
1996
Supplement
3
Pages
85 - 88
Database
ISI
SICI code
0044-2267(1996)76:<85:OPTCAN>2.0.ZU;2-U
Abstract
In this paper we explain some of the concepts used in the mathematical theory of option pricing, show how the introduction of transaction co sts into the problem of option pricing leads to a nonlinear partial di fferential equation, and briefly review some of the properties exhibit ed by these models.