Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461): Difference between revisions
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| Property / DOI: 10.3934/jimo.2013.9.365 / rank | |||
| Property / author | |||
| Property / author: Songgui Wang / rank | |||
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| Property / author: Songgui Wang / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L25 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number: 6226864 / rank | |||
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| Property / zbMATH Keywords | |||
Hamilton-Jacobi-Bellman equations | |||
| Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equations / rank | |||
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American option valuation | |||
| Property / zbMATH Keywords: American option valuation / rank | |||
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penalty methods | |||
| Property / zbMATH Keywords: penalty methods / rank | |||
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upwind finite difference method | |||
| Property / zbMATH Keywords: upwind finite difference method / rank | |||
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| Property / Wikidata QID: Q59416167 / rank | |||
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| Property / MaRDI profile type: Publication / rank | |||
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| Property / full work available at URL: https://doi.org/10.3934/jimo.2013.9.365 / rank | |||
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| Property / OpenAlex ID: W2323282084 / rank | |||
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| Property / DOI: 10.3934/JIMO.2013.9.365 / rank | |||
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Latest revision as of 16:52, 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)
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14 November 2013
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Hamilton-Jacobi-Bellman equations
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American option valuation
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penalty methods
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upwind finite difference method
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