A numerical method for European option pricing with transaction costs nonlinear equation (Q969982): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Limit theorem on option replication cost with transaction costs
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+Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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+European option pricing and hedging with both fixed and proportional transaction costs
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+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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+Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
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+Numerical solution of linear and nonlinear Black-Scholes option pricing equations
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+An efficient method for option pricing with discrete dividend payment
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