Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q915305 |
Normalize DOI. |
||
| (4 intermediate revisions by 4 users not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.3934/jimo.2013.9.365 / rank | |||
| Property / author | |||
| Property / author: Songgui Wang / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.3934/jimo.2013.9.365 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2323282084 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.3934/JIMO.2013.9.365 / rank | |||
Normal rank | |||
Latest revision as of 15:52, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme |
scientific article |
Statements
Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (English)
0 references
14 November 2013
0 references
Hamilton-Jacobi-Bellman equations
0 references
American option valuation
0 references
penalty methods
0 references
upwind finite difference method
0 references
