Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (Q5737869): Difference between revisions

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scientific article; zbMATH DE number 6724309

Language	Label	Description	Also known as
English	Moving boundary transformation for American call options with transaction cost: finite difference methods and computing	scientific article; zbMATH DE number 6724309

Statements

instance of

scholarly article

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title

Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (English)

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published in

International Journal of Computer Mathematics

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publication date

30 May 2017

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full work available at URL

http://hdl.handle.net/10251/102165

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zbMATH Keywords

nonlinear PDE

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free boundary

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transformation

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finite difference methods

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Newton-like method

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alternating direction explicit method

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MaRDI profile type

MaRDI publication profile

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cites work

On the numerical solution of nonlinear Black-Scholes equations

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Option pricing with transaction costs and a nonlinear Black-Scholes equation

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The Pricing of Options and Corporate Liabilities

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Numerical solution of linear and nonlinear Black-Scholes option pricing equations

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Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

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Numerical analysis and simulation of option pricing problems modeling illiquid markets

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Constructing positive reliable numerical solution for American call options: a new front-fixing approach

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Q3338613

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A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

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Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

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Numerical Methods for Non-Linear Black–Scholes Equations

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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

0 references

Q4369384

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Mathematical models of financial derivatives

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Heat conduction in a melting solid

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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

0 references

Convergence Results for Schubert’s Method for Solving Sparse Nonlinear Equations

0 references

Numerical convergence properties of option pricing PDEs with uncertain volatility

0 references

Analysis of the free boundary for the pricing of an American call option

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The Mathematics of Financial Derivatives

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Identifiers

zbMATH Open document ID

1364.91151

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DOI

10.1080/00207160.2015.1108409

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+On the numerical solution of nonlinear Black-Scholes equations
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@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of linear and nonlinear Black-Scholes option pricing equations
+Normal rank
@@ Property / cites work @@
+Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Numerical analysis and simulation of option pricing problems modeling illiquid markets
+Normal rank
@@ Property / cites work @@
+Constructing positive reliable numerical solution for American call options: a new front-fixing approach
+Normal rank
@@ Property / cites work @@
+Q3338613
@@ Property / cites work: Q3338613 / rank @@
+Normal rank
@@ Property / cites work @@
+A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
+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 Methods for Non-Linear Black–Scholes Equations
+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 @@
+Q4369384
@@ Property / cites work: Q4369384 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical models of financial derivatives
@@ Property / cites work: Mathematical models of financial derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Heat conduction in a melting solid
@@ Property / cites work: Heat conduction in a melting solid / rank @@
+Normal rank
@@ Property / cites work @@
+An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
+Normal rank
@@ Property / cites work @@
+Convergence Results for Schubert’s Method for Solving Sparse Nonlinear Equations
+Normal rank
@@ Property / cites work @@
+Numerical convergence properties of option pricing PDEs with uncertain volatility
+Normal rank
@@ Property / cites work @@
+Analysis of the free boundary for the pricing of an American call option
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
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