Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+L20
@@ Property / Mathematics Subject Classification ID: 49L20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+L25
@@ Property / Mathematics Subject Classification ID: 49L25 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M06
@@ Property / Mathematics Subject Classification ID: 65M06 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6226864
@@ Property / zbMATH DE Number: 6226864 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equations
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option valuation
@@ Property / zbMATH Keywords: American option valuation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+penalty methods
@@ Property / zbMATH Keywords: penalty methods / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+upwind finite difference method
@@ Property / zbMATH Keywords: upwind finite difference method / rank @@
+Normal rank

Revision as of 11:38, 29 June 2023