The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (Q4903545): Difference between revisions

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scientific article; zbMATH DE number 6127883

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English	The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost	scientific article; zbMATH DE number 6127883

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instance of

scholarly article

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title

The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (English)

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author

B. Kleefeld

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Muhammad Irfan Yousuf

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Abdul Q. M. Khaliq

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published in

International Journal of Computer Mathematics

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publication date

22 January 2013

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zbMATH Keywords

exponential time differencing

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transaction cost

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butterfly spread

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discrete barrier option

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nonlinear Black-Scholes model

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describes a project that uses

RODAS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2012.688115

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cites work

Existence and stability of solutions for semi-linear parabolic systems, and applications to some diffusion reaction equations

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The Pricing of Options and Corporate Liabilities

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Evaluation of American strangles

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Exponential time differencing for stiff systems

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A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

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

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A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS

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Quadratic Convergence for Valuing American Options Using a Penalty Method

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Q4000061

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A Fast Numerical Method for the Black--Scholes Equation of American Options

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Numerical Methods for Non-Linear Black–Scholes Equations

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On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs

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Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs

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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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On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations

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An ETD Crank-Nicolson method for reaction-diffusion systems

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

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Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later

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Semigroups of linear operators and applications to partial differential equations

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A new computational tool for analysing dynamic hedging under transaction costs

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Analysis of the free boundary for the pricing of an American call option

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Absorbing boundary conditions for reaction-diffusion equations

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A nonlinear approach to absorbing boundary conditions for the semilinear wave equation

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Q4360234

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On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

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Smoothing properties and approximation of time derivatives for parabolic equations: constant time steps

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Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility

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Identifiers

zbMATH Open document ID

1255.91434

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DOI

10.1080/00207160.2012.688115

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4903545

@@ Property / cites work @@
+Existence and stability of solutions for semi-linear parabolic systems, and applications to some diffusion reaction equations
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluation of American strangles
@@ Property / cites work: Evaluation of American strangles / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential time differencing for stiff systems
@@ Property / cites work: Exponential time differencing for stiff systems / rank @@
+Normal rank
@@ Property / cites work @@
+A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
+Normal rank
@@ Property / cites work @@
+High Order Compact Finite Difference Schemes for a Nonlinear  Black-Scholes Equation
+Normal rank
@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+Q4000061
@@ Property / cites work: Q4000061 / rank @@
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Non-Linear Black–Scholes Equations
+Normal rank
@@ Property / cites work @@
+On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
+Normal rank
@@ Property / cites work @@
+Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
+Normal rank
@@ Property / cites work @@
+On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
+Normal rank
@@ Property / cites work @@
+On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
+Normal rank
@@ Property / cites work @@
+An ETD Crank-Nicolson method for reaction-diffusion systems
+Normal rank
@@ Property / cites work @@
+High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
+Normal rank
@@ Property / cites work @@
+Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+A new computational tool for analysing dynamic hedging under transaction costs
+Normal rank
@@ Property / cites work @@
+Analysis of the free boundary for the pricing of an American call option
+Normal rank
@@ Property / cites work @@
+Absorbing boundary conditions for reaction-diffusion equations
+Normal rank
@@ Property / cites work @@
+A nonlinear approach to absorbing boundary conditions for the semilinear wave equation
+Normal rank
@@ Property / cites work @@
+Q4360234
@@ Property / cites work: Q4360234 / rank @@
+Normal rank
@@ Property / cites work @@
+On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
+Normal rank
@@ Property / cites work @@
+Smoothing properties and approximation of time derivatives for parabolic equations: constant time steps
+Normal rank
@@ Property / cites work @@
+Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
+Normal rank