Computing option pricing models under transaction costs

DOI10.1016/j.camwa.2009.10.028zbMath1189.91203OpenAlexW2045329918MaRDI QIDQ980254

M. D. Roselló, Rafael Company, José-Ramón Pintos, Lucas Jodar

Publication date: 28 June 2010

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2009.10.028

zbMATH Keywords

semidiscretizationtransaction costsnumerical analysiscall optionnonlinear Black-Scholes equation

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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A positivity-preserving numerical scheme for nonlinear option pricing models ⋮ Group classification for a class of non-linear models of the RAPM type

Cites Work

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• 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

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