Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

DOI10.1080/00207160.2015.1108409zbMath1364.91151OpenAlexW2266587297MaRDI QIDQ5737869

No author found.

Publication date: 30 May 2017

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

Full work available at URL: http://hdl.handle.net/10251/102165

zbMATH Keywords

Newton-like methodfinite difference methodstransformationnonlinear PDEfree boundaryalternating direction explicit method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Numerical Analysis of Novel Finite Difference Methods ⋮ Newton-Based Solvers for Nonlinear PDEs in Finance

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Constructing positive reliable numerical solution for American call options: a new front-fixing approach
• Mathematical models of financial derivatives
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• 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
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Analysis of the free boundary for the pricing of an American call option
• A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
• Numerical Methods for Non-Linear Black–Scholes Equations
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
• Convergence Results for Schubert’s Method for Solving Sparse Nonlinear Equations
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• The Mathematics of Financial Derivatives
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Heat conduction in a melting solid

This page was built for publication: Moving boundary transformation for American call options with transaction cost: finite difference methods and computing