Before revision:  We also present results of numerical computations of the free boundary position, option price and their dependence on model parameters. is a solution to a stationary generalized Black-Scholes equation in which the volatility  may depend on the second derivative of the option price itself.
After revision:  We also present results of numerical computations of the free boundary position, option price and their dependence on model parameters. is a solution to a stationary generalized Black-Scholes equation in which the volatility function may depend on the second derivative of the option price itself.