A numerical method for pricing European options with proportional transaction costs

DOI10.1007/s10898-014-0155-5zbMath1298.91188DBLPjournals/jgo/LiW14OpenAlexW2026362690WikidataQ59416159 ScholiaQ59416159MaRDI QIDQ740640

Wen Li, Songgui Wang

Publication date: 4 September 2014

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-014-0155-5

zbMATH Keywords

convergenceoptimal feedback controlfinite difference methodcomplementarity problemsHJB equationsEuropean option pricingglobal optimizer

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonconvex programming, global optimization (90C26) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering ⋮ Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing ⋮ Numerical solution of an obstacle problem with interval coefficients ⋮ An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints ⋮ A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing ⋮ A penalty approach to a discretized double obstacle problem with derivative constraints ⋮ An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem ⋮ A power penalty approach to a discretized obstacle problem with nonlinear constraints

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