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Keywords:
transaction costs; nonlinear partial differential equation; numerical computation
transaction costs; nonlinear partial differential equation; numerical computation
Summary:
We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black–Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme.
References:
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