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Original Articles

Valuation of European options in the market with daily price limit

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Pages 61-74 | Published online: 14 Oct 2010

References

  • Black , F. and Scholes , M. 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 : 637 – 659 .
  • Feller , W. 1971 . An Introduction to Probability Theory and its Applications , 2nd ed. , New York : John Wiley .
  • Friedman , A. 1964 . Partial Differential Equations of Parabolic Type , Englewood Cliff , NJ : Prentice-Hill .
  • Ikeda , N. and Watanabe , S. 1989 . Stochastic Differential Equations and Diffusion Processes , Amsterdam : North-Holland .
  • Leland , H. E. 1985 . Option pricing and replication with transaction costs . Journal of Finance , 40 : 1283 – 1301 .
  • Wilmott , P. , Dewynne , J. and Howison , S. 1993 . Option Pricing , Oxford Financial Press .

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