Numerical solution of linear and nonlinear Black-Scholes option pricing equations
type: Item
instance of: scholarly article
title: Numerical solution of linear and nonlinear Black-Scholes option pricing equations
zbMATH Open document ID: 1155.65370
author: Enrique Navarro
author: R. Company
author: José-Ramón Pintos
author: E. Ponsoda
publication date: 2009-03-12T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5528575
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: numerical solution
zbMATH Keywords: option pricing
zbMATH Keywords: semidiscretization
zbMATH Keywords: transaction cost
MaRDI profile type: Publication
full work available at URL: j.camwa.2008.02.010
OpenAlex ID: W2006465918
cites work: Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation
cites work: European Option Pricing with Transaction Costs
cites work: Perfect option hedging for a large trader
cites work: On Feedback Effects from Hedging Derivatives
cites work: The Feedback Effect of Hedging in Illiquid Markets
cites work: Limit theorem on option replication cost with transaction costs
cites work: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
cites work: A finite element approach to the pricing of discrete lookbacks with stochastic volatility
cites work: Q4955537
cites work: Q4863379
cites work: Q3993078
cites work: Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
cites work: Q4855462
cites work: Q3696432
cites work: Q4890882
DOI: 10.1016/J.CAMWA.2008.02.010
published in: Computers & Mathematics with Applications
Recommended article: On the numerical solution of nonlinear Black-Scholes equations
Recommended article: Numerical Methods for Non-Linear Black–Scholes Equations
Recommended article: Numerical methods for solving a Black-Scholes equation
Recommended article: An accurate and efficient numerical method for solving Black-Scholes equation in option pricing
Recommended article: Q4809215
Recommended article: Numerical solution of systems of partial integral differential equations with application to pricing options
Recommended article: Numerical Solution via Transformation Methods of Nonlinear Models in Option Pricing
Recommended article: Numerical solution of generalized Black-Scholes model
Recommended article: Numerical Approximation of Black-Scholes Equation
Recommended article: NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
description: scientific article; zbMATH DE number 5528575