most citedViscosity solution of a Delta Greek nonlinear Black-Scholes equation

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Viscosity solution of a Delta Greek nonlinear Black-Scholes equation

Rui M. P. Almeida, Teófilo D. Chihaluca, José C. M. Duque

In this paper, a class of nonlinear option pricing models involving transaction costs is considered. The diffusion coefficient of the nonlinear parabolic equation for the price …