THE WEAK SOLUTION OF BLACK-SCHOLE'S OPTION PRICING MODEL WITH TRANSACTION COST
| Main Author: | Bright O. Osu |
|---|---|
| Format: | Article |
| Terbitan: |
, 2019
|
| Online Access: |
https://zenodo.org/record/2671677 |
Daftar Isi:
- This paper considers the equation of the type − + + = , ( , ) ∈ R × (0, ); which is the Black-Scholes option pricing model that includes the presence of transaction cost. The existence, uniqueness and continuous dependence of the weak solution of the Black-Scholes model with transaction cost are established.The continuity of weak solution of the parameters was discussed and similar solution as in literature obtained.