Pages that link to "Item:Q740640"

The following pages link to A numerical method for pricing European options with proportional transaction costs (Q740640):

Displaying 18 items.

• Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461) (← links)
• A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
• A pseudospectral method for option pricing with transaction costs under exponential utility (Q2029418) (← links)
• Numerical solution of an obstacle problem with interval coefficients (Q2178955) (← links)
• An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints (Q2200796) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← links)
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
• Using computational methodology to price European options with actual payoff distributions (Q2466715) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• European option under a skew version of the GBM model with transaction costs by an RBF method (Q3389651) (← links)
• (Q5260264) (← links)