Keywords
- Transaction Cost
- Stochastic Differential Equation
- Viscosity Solution
- Option Price
- European Option
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© 1997 Springer-Verlag
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Soner, H.M. (1997). Controlled markov processes, viscosity solutions and applications to mathematical finance. In: Dolcetta, I.C., Lions, P.L. (eds) Viscosity Solutions and Applications. Lecture Notes in Mathematics, vol 1660. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0094297
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DOI: https://doi.org/10.1007/BFb0094297
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