Numerical Solution via Transformation Methods of Nonlinear Models in Option Pricing

DOI10.1063/1.3526637zbMath1230.91190OpenAlexW2050584913MaRDI QIDQ3114144

Miglena N. Koleva, Naoyuki Ishimura, Lubin G. Vulkov

Publication date: 30 January 2012

Published in: AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.3526637

zbMATH Keywords

convergenceintegral equationNewton's methodRothe's methodtransaction costBlack-Scholes equationquasi-Newton's method

Mathematics Subject Classification ID

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

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