A numerical method for European option pricing with transaction costs nonlinear equation
From MaRDI portal
Publication:969982
DOI10.1016/j.mcm.2009.05.019zbMath1185.91174OpenAlexW2041015802MaRDI QIDQ969982
José-Ramón Pintos, Lucas Jodar, Rafael Company
Publication date: 8 May 2010
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2009.05.019
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (20)
Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation ⋮ A numerical scheme for pricing American options with transaction costs under a jump diffusion process ⋮ Numerical analysis and computing for option pricing models in illiquid markets ⋮ Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ A positivity-preserving numerical scheme for nonlinear option pricing models ⋮ Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ An efficient alternating direction explicit method for solving a nonlinear partial differential equation ⋮ An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs ⋮ Spline approximation method to solve an option pricing problem ⋮ Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options ⋮ Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options ⋮ High-order exponential spline method for pricing European options ⋮ A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ Robust numerical algorithm to the European option with illiquid markets ⋮ Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- European option pricing and hedging with both fixed and proportional transaction costs
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- An efficient method for option pricing with discrete dividend payment
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Limit theorem on option replication cost with transaction costs
- Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
This page was built for publication: A numerical method for European option pricing with transaction costs nonlinear equation
