scholarly journals Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs

2016 ◽  
Vol 23 (2) ◽  
pp. 153-174 ◽  
Author(s):  
Daniel Ševčovič ◽  
Magdaléna Žitňanská
Keyword(s):  
Option Pricing ◽  
Transaction Costs ◽  
Pricing Model ◽  
Option Pricing Model ◽  
Variable Transaction Costs

scholarly journals A Black–Scholes option pricing model with transaction costs

2005 ◽  
Vol 303 (2) ◽  
pp. 688-695 ◽  
Author(s):  
P. Amster ◽  
C.G. Averbuj ◽  
M.C. Mariani ◽  
D. Rial
Keyword(s):  
Option Pricing ◽  
Transaction Costs ◽  
Pricing Model ◽  
Black Scholes ◽  
Option Pricing Model

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model
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