An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260): Difference between revisions

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scientific article

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

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scholarly article

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title

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

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Applied Mathematics and Computation

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publication date

6 June 2014

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zbMATH Keywords

nonlinear Black-Scholes equation

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option pricing

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upwind finite difference method

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convergence

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stability

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Newton method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2012.12.077

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cites work

Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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On the numerical solution of nonlinear Black-Scholes equations

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Q4356582

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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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A numerical method for European option pricing with transaction costs nonlinear equation

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

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High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

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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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Q3994419

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

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Limit theorem on option replication cost with transaction costs

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Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

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High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost

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Q4905685

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Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems

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High order difference schemes for unsteady one-dimensional diffusion- convection problems

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Q5342712

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A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method

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Q3594586

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Some mathematical results in the pricing of American options

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Identifiers

zbMATH Open document ID

1288.91193

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Mathematics Subject Classification ID

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journals/amc/LesmanaW13

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DOI

10.1016/J.AMC.2012.12.077

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Sitelinks

Mathematics(1 entry)

mardi Publication:2453260

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