On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations

DOI10.1007/978-3-642-25100-9_24zbMath1246.91152arXiv1009.5973OpenAlexW1546029832MaRDI QIDQ2905429

Daniel Ševčovič

Publication date: 27 August 2012

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.5973

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• On the numerical solution of nonlinear Black-Scholes equations
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Market Volatility and Feedback Effects from Dynamic Hedging
• Analysis of the free boundary for the pricing of an American call option
• The Feedback Effect of Hedging in Illiquid Markets
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

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