Pages that link to "Item:Q1265770"

The following pages link to Option pricing with transaction costs and a nonlinear Black-Scholes equation (Q1265770):

Displayed 50 items.

• Asymptotic replication with modified volatility under small transaction costs (Q287666) ‎ (← links)
• Duality and convergence for binomial markets with friction (Q354186) ‎ (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) ‎ (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) ‎ (← links)
• Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type (Q533028) ‎ (← links)
• Option hedging for small investors under liquidity costs (Q650751) ‎ (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) ‎ (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) ‎ (← links)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) ‎ (← links)
• A second-order positivity preserving numerical method for gamma equation (Q902565) ‎ (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) ‎ (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) ‎ (← links)
• A numerical method for European option pricing with transaction costs nonlinear equation (Q969982) ‎ (← links)
• Computing option pricing models under transaction costs (Q980254) ‎ (← links)
• Existence and uniqueness results for a semilinear Black-Scholes type equation (Q984569) ‎ (← links)
• On the numerical solution of nonlinear Black-Scholes equations (Q1004743) ‎ (← links)
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744) ‎ (← links)
• Option hedging theory under transaction costs (Q1042722) ‎ (← links)
• Pricing equity-linked pure endowments via the principle of equivalent utility. (Q1423334) ‎ (← links)
• Valuation and martingale properties of shadow prices: an exposition (Q1583150) ‎ (← links)
• Analysis of the nonlinear option pricing model under variable transaction costs (Q1627683) ‎ (← links)
• Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function (Q1627819) ‎ (← links)
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795) ‎ (← links)
• A space-time fractional derivative model for European option pricing with transaction costs in fractal market (Q1681657) ‎ (← links)
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options (Q1697932) ‎ (← links)
• A high-order finite difference method for option valuation (Q1705003) ‎ (← links)
• A universal difference method for time-space fractional Black-Scholes equation (Q1796725) ‎ (← links)
• Utility based option evaluation with proportional transaction costs (Q1853219) ‎ (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) ‎ (← links)
• A positivity-preserving numerical scheme for nonlinear option pricing models (Q1952786) ‎ (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) ‎ (← links)
• Solution of the fractional Black-Scholes option pricing model by finite difference method (Q2015204) ‎ (← links)
• Utility-indifference pricing of European options with proportional transaction costs (Q2033077) ‎ (← links)
• High order approximation of derivatives with applications to pricing of financial derivatives (Q2043182) ‎ (← links)
• A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) ‎ (← links)
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method (Q2132839) ‎ (← links)
• Multistep schemes for one and two dimensional electromagnetic wave models based on fractional derivative approximation (Q2186932) ‎ (← links)
• A weighted finite difference method for subdiffusive Black-Scholes model (Q2194785) ‎ (← links)
• Group classification for a class of non-linear models of the RAPM type (Q2211989) ‎ (← links)
• A computational method to price with transaction costs under the nonlinear Black-Scholes model (Q2213466) ‎ (← links)
• An efficient alternating direction explicit method for solving a nonlinear partial differential equation (Q2217068) ‎ (← links)
• Double obstacle problems and fully nonlinear PDE with non-strictly convex gradient constraints (Q2223611) ‎ (← links)
• Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints (Q2227229) ‎ (← links)
• Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options (Q2237909) ‎ (← links)
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) ‎ (← links)
• Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) ‎ (← links)
• Robust numerical algorithm to the European option with illiquid markets (Q2284751) ‎ (← links)
• Estimation of ask and bid prices for geometric Asian options (Q2296530) ‎ (← links)
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) ‎ (← links)
• A constructive method for convex solutions of a class of nonlinear Black-Scholes equations (Q2323118) ‎ (← links)