A hybrid method for pricing European options based on multiple assets with transaction costs

DOI10.1080/135048699334555zbMath1009.91031OpenAlexW2092778441MaRDI QIDQ4541569

Graziella Pacelli, Francesco Zirilli, Maria Cristina Recchioni

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048699334555

zbMATH Keywords

Fourier sine transformtransaction costsEuropean optionsimplicit finite-difference schemenonlinear parabolic partial differential equation

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55)

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Cites Work

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