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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Revision as of 15:23, 19 February 2024
scientific article; zbMATH DE number 6127883
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost |
scientific article; zbMATH DE number 6127883 |
Statements
The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (English)
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22 January 2013
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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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