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Applied Mathematical Finance Volume 13, 2006 - Issue 3
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Original Articles

Pricing a European Basket Option in the Presence of Proportional Transaction Costs

C. Atkinson Department of Mathematics, Imperial College, London, UKCorrespondence[email protected]
&
C. A. Alexandropoulos Department of Mathematics, Imperial College, London, UK
Pages 191-214 | Received 27 Apr 2004, Published online: 02 Feb 2007

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