Browsing by Author "EYANG'AN, Esekon Joseph"
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Analytic Solution of a Nonlinear Black-Scholes Partial Differential Equation
EYANG'AN, Esekon Joseph (Maseno University, 2011)The assumptions under which the standard Black-Scholes equation has been derived are restrictive (e.g. liquid and frictionless markets). When illiquidity and market friction are introduced into the market, financial ...