Pages that link to "Item:Q2403848"
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The following pages link to Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848):
Displaying 13 items.
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321) (← links)
- A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989) (← links)
- Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method (Q2079124) (← links)
- Numerical solution of an obstacle problem with interval coefficients (Q2178955) (← links)
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) (← links)
- A computational method to price with transaction costs under the nonlinear Black-Scholes model (Q2213466) (← links)
- Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
- Pricing options on investment project expansions under commodity price uncertainty (Q2423283) (← links)
- PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (Q5101563) (← links)
- Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations (Q6579516) (← links)
