Browsing Statistics and Actuarial Science by Author "MUSERA, Collins"
Now showing items 1-1 of 1
-
Analytic solutions of call and put options of nonlinear black-scholes equation with transaction costs and price slippage
MUSERA, Collins (Maseno University, 2016)A nonlinear Black-Scholes Partial Differential Equation whose nonlinearity is as a result of transaction costs and a price slippage impact that lead to market illiquidity with feedback effects was studied. Most of the ...