A numerical method for pricing European options with proportional transaction costs (Q740640)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A numerical method for pricing European options with proportional transaction costs |
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
