A numerical method for pricing European options with proportional transaction costs
type: Item
instance of: scholarly article
title: A numerical method for pricing European options with proportional transaction costs
zbMATH Open document ID: 1298.91188
author: Wen Li
author: Song Wang
published in: Journal of Global Optimization
publication date: 2014-09-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C26
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 6339439
zbMATH Keywords: HJB equations
zbMATH Keywords: optimal feedback control
zbMATH Keywords: global optimizer
zbMATH Keywords: European option pricing
zbMATH Keywords: complementarity problems
zbMATH Keywords: finite difference method
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: s10898-014-0155-5
OpenAlex ID: W2026362690
Wikidata QID: Q59416159
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DBLP publication ID: journals/jgo/LiW14
DOI: 10.1007/S10898-014-0155-5
description: scientific article; zbMATH DE number 6339439