Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
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DOI: 10.1080/00207160.2015.1108409
Abstract: ABSTRACT The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed… read more here.
Keywords: finite difference; american call; transaction cost; difference methods ... See more keywords