Analysis of the nonlinear option pricing model under variable transaction costs

DOI10.1007/s10690-016-9213-yzbMath1418.91538arXiv1603.03874OpenAlexW2302440843MaRDI QIDQ1627683

Daniel Ševčovič, Magdaléna Žitňanská

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03874

zbMATH Keywords

quasilinear parabolic equationBlack-Scholes equation with nonlinear volatilityvariable transaction costs

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (14)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ Quantification of risk in classical models of finance ⋮ A numerical study of the utility-indifference approach for pricing American options ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations ⋮ Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ Utility-indifference pricing of European options with proportional transaction costs ⋮ A constructive method for convex solutions of a class of nonlinear Black-Scholes equations ⋮ Unnamed Item ⋮ Computation of Delta Greek for Non-linear Models in Mathematical Finance

Cites Work

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