A numerical method for pricing European options with proportional transaction costs (Q740640)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for pricing European options with proportional transaction costs |
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A numerical method for pricing European options with proportional transaction costs (English)
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4 September 2014
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HJB equations
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optimal feedback control
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global optimizer
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European option pricing
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complementarity problems
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finite difference method
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convergence
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