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We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L��vy process. The model is a generalization of the celebrated work of Davis, Panas and Zar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::564cef999be75c2b5a408f9b892f8f69
