Numerical schemes for variational inequalities arising in international asset pricing

DOI10.1023/A:1011278629862zbMath1014.91026MaRDI QIDQ5948629

Agnès Tourin, James E. Hodder, Thaleia Zariphopoulou

Publication date: 2 July 2003

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesviscosity solutionsgardient constraintsinternational asset pricingpolitical riskshipping costs

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Related Items (2)

Primal-dual methods for the computation of trading regions under proportional transaction costs ⋮ A numerical method for pricing European options with proportional transaction costs

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