Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744): Difference between revisions

@@ Property / author @@
-Rafael Company
@@ Property / author: Rafael Company / rank @@
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-José-Ramón Pintos
@@ Property / author: José-Ramón Pintos / rank @@
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@@ Property / author @@
-Enrique Ponsoda
@@ Property / author: Enrique Ponsoda / rank @@
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@@ Property / author @@
+Rafael Company
@@ Property / author: Rafael Company / rank @@
+Normal rank
@@ Property / author @@
+José-Ramón Pintos
@@ Property / author: José-Ramón Pintos / rank @@
+Normal rank
@@ Property / author @@
+Enrique Ponsoda
@@ Property / author: Enrique Ponsoda / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.camwa.2008.02.010
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+W2006465918
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@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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@@ Property / cites work @@
+Perfect option hedging for a large trader
@@ Property / cites work: Perfect option hedging for a large trader / rank @@
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+On Feedback Effects from Hedging Derivatives
@@ Property / cites work: On Feedback Effects from Hedging Derivatives / rank @@
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+The Feedback Effect of Hedging in Illiquid Markets
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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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+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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+Q4955537
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+Q4863379
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+Q3993078
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@@ Property / cites work @@
+Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
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+Q4855462
@@ Property / cites work: Q4855462 / rank @@
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+Q3696432
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+Q4890882
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+Publication:1004744