High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost

DOI10.1080/00207160802609829zbMath1163.91411OpenAlexW2087092441MaRDI QIDQ3636736

Wenyuan Liao, Abdul Q. M. Khaliq

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802609829

zbMATH Keywords

option pricingtransaction costBlack-Scholeshigh-order compact

Mathematics Subject Classification ID

Related Items (22)

A high-order compact method for nonlinear Black–Scholes option pricing equations of American options ⋮ Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Penalty and penalty-like methods for nonlinear HJB PDEs ⋮ Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ On the Stability of a Compact Finite Difference Scheme for Option Pricing ⋮ High-order ADI scheme for option pricing in stochastic volatility models ⋮ A second-order positivity preserving numerical method for gamma equation ⋮ A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility models ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models ⋮ High Order Compact Schemes for Option Pricing with Liquidity Shocks ⋮ An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs ⋮ A class of two-level implicit unconditionally stable methods for a fourth order parabolic equation ⋮ Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks ⋮ The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost ⋮ Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model ⋮ A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions ⋮ Robust numerical algorithm to the European option with illiquid markets ⋮ High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids ⋮ High order approximation of derivatives with applications to pricing of financial derivatives

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• Optimal delta-hedging under transactions costs
• Extension of high-order compact schemes to time-dependent problems
• An efficient high-order algorithm for solving systems of reaction-diffusion equations
• European Option Pricing with Transaction Costs
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• Simulations of transaction costs and optimal rehedging

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