A distributed algorithm for European options with nonlinear volatility (Q2485516): Difference between revisions
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| Property / DOI: 10.1016/j.camwa.2004.03.014 / rank | |||
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| Property / MaRDI profile type: Publication / rank | |||
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| Property / OpenAlex ID: W1981590152 / rank | |||
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| Property / cites work: Q3366074 / rank | |||
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| Property / cites work: Q4217224 / rank | |||
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| Property / cites work: What is the Laplace Transform? / rank | |||
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| Property / cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation / rank | |||
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| Property / cites work: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs / rank | |||
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| Property / DOI: 10.1016/J.CAMWA.2004.03.014 / rank | |||
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Latest revision as of 00:02, 19 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A distributed algorithm for European options with nonlinear volatility |
scientific article |
Statements
A distributed algorithm for European options with nonlinear volatility (English)
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5 August 2005
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Option pricing
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Black-Scholes equation
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Finite-difference schemes
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Nonlinear volatility
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