High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation (Q4812335): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+The Pricing of Options and Corporate Liabilities
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+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+European Option Pricing with Transaction Costs
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+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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+Perfect option hedging for a large trader
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+Far Field Boundary Conditions for Black--Scholes Equations
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+On Feedback Effects from Hedging Derivatives
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+Q5536978
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+High order difference schemes for unsteady one-dimensional diffusion- convection problems
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+Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+Q3993078
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+The modified equation approach to the stability and accuracy analysis of finite-difference methods
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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+https://doi.org/10.1142/s0219024903002183
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+W3121209513
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+Publication:4812335