Pages that link to "Item:Q956510"
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The following pages link to Computation of reservation prices of options with proportional transaction costs (Q956510):
Displayed 12 items.
- A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- Numerical solution of an obstacle problem with interval coefficients (Q2178955) (← links)
- Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
- Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)