Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:06, 5 March 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
