Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
In financial mathematics, trading in an illiquid market has become a topic of great concern since assets in such market cannot be sold easily for cash without at least a minimal loss of value. This may be due to uncertainty traceable to factors like lack of interested buyers, transaction cost, and s...
Main Authors: | S.O. Edeki, O.O. Ugbebor, E.A. Owoloko |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2017-01-01
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Series: | Cogent Mathematics |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/23311835.2017.1352118 |
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