The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost

DOI10.1080/00207160.2012.688115zbMath1255.91434OpenAlexW2035253283MaRDI QIDQ4903545

B. Kleefeld, Abdul Q. M. Khaliq, Muhammad Irfan Yousuf

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.688115

zbMATH Keywords

transaction costexponential time differencingdiscrete barrier optionbutterfly spreadnonlinear Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Parallel numerical computation (65Y05) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Complexity and performance of numerical algorithms (65Y20)

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Uses Software

• RODAS

Cites Work

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