Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs (Q3647543): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Numerical solution of linear and nonlinear Black-Scholes option pricing equations
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+European Option Pricing with Transaction Costs
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+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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+A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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+Martingales and stochastic integrals in the theory of continuous trading
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Q2741115
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+Numerical analysis of three-time-level finite difference schemes for unsteady diffusion-convection problems
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+Q3696432
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Q4663944
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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