A numerical method for pricing European options with proportional transaction costs (Q740640): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Created claim: DBLP publication ID (P1635): journals/jgo/LiW14, #quickstatements; #temporary_batch_1731508824982 |
||
| Property / DBLP publication ID | |||
| Property / DBLP publication ID: journals/jgo/LiW14 / rank | |||
Normal rank | |||
Latest revision as of 15:48, 13 November 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for pricing European options with proportional transaction costs |
scientific article |
Statements
A numerical method for pricing European options with proportional transaction costs (English)
0 references
4 September 2014
0 references
HJB equations
0 references
optimal feedback control
0 references
global optimizer
0 references
European option pricing
0 references
complementarity problems
0 references
finite difference method
0 references
convergence
0 references
0 references
0 references
0 references
0 references
0 references
