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scientific article; zbMATH DE number 7405331

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7405331

Statements

scholarly article

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Mikhail M. Dyshaev

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publication date

1 October 2021

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full work available at URL

http://mathnet.ru/eng/chfmj152

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zbMATH Keywords

Black-Scholes model

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transaction costs

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RAPM

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delta hedging

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MaRDI profile type

MaRDI publication profile

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The Pricing of Options and Corporate Liabilities

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On Leland's strategy of option pricing with transactions costs

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Markets with transaction costs. Mathematical theory.

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Option pricing with transaction costs and a nonlinear Black-Scholes equation

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Analysis of the nonlinear option pricing model under variable transaction costs

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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

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On the numerical solution of nonlinear Black-Scholes equations

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Study of the risk-adjusted pricing methodology model with methods of geometrical analysis

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Comparing of some sensitivities for nonlinear models Comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity

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Identifiers

zbMATH Open document ID

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10.24411/2500-0101-2019-14401

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5153837

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