A numerical method for pricing European options with proportional transaction costs (Q740640): Difference between revisions

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+Computational Methods for Option Pricing
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+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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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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+Computation of reservation prices of options with proportional transaction costs
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+European Option Pricing with Transaction Costs
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+An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
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+Penalty approach to the HJB equation arising in European stock option pricing with proportional 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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+Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
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+European option pricing and hedging with both fixed and proportional transaction costs
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+Pricing American bond options using a penalty method
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