Computing option pricing models under transaction costs (Q980254): Difference between revisions

@@ Property / author @@
-Rafael Company
@@ Property / author: Rafael Company / rank @@
-Normal rank
@@ Property / author @@
-Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
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@@ Property / author @@
-José-Ramón Pintos
@@ Property / author: José-Ramón Pintos / rank @@
-Normal rank
@@ Property / author @@
-M. D. Roselló
@@ Property / author: M. D. Roselló / rank @@
-Normal rank
@@ Property / author @@
+Rafael Company
@@ Property / author: Rafael Company / rank @@
+Normal rank
@@ Property / author @@
+Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
+Normal rank
@@ Property / author @@
+José-Ramón Pintos
@@ Property / author: José-Ramón Pintos / rank @@
+Normal rank
@@ Property / author @@
+M. D. Roselló
@@ Property / author: M. D. Roselló / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2009.10.028
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@@ Property / OpenAlex ID @@
+W2045329918
@@ Property / OpenAlex ID: W2045329918 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Limit theorem on option replication cost with transaction costs
+Normal rank
@@ Property / cites work @@
+Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
+Normal rank
@@ Property / cites work @@
+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank
@@ Property / cites work @@
+European option pricing and hedging with both fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
+Normal rank
@@ Property / cites work @@
+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4955537
@@ Property / cites work: Q4955537 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4863379
@@ Property / cites work: Q4863379 / rank @@
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Q3534745
@@ Property / cites work: Q3534745 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3993078
@@ Property / cites work: Q3993078 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of linear and nonlinear Black-Scholes option pricing equations
+Normal rank
@@ Property / cites work @@
+Q3696432
@@ Property / cites work: Q3696432 / rank @@
+Normal rank
@@ Property / cites work @@
+An efficient method for option pricing with discrete dividend payment
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@@ Property / cites work @@
+Q4855462
@@ Property / cites work: Q4855462 / rank @@
+Normal rank