High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost (Q3636736)
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scientific article; zbMATH DE number 5571411
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| English | High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost |
scientific article; zbMATH DE number 5571411 |
Statements
High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost (English)
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29 June 2009
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high-order compact
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Black-Scholes
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option pricing
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transaction cost
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0.9479705
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0.9286455
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0.9197794
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0.9119001
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0.90951216
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0.9091403
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0.9086016
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0.90604484
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0.89896005
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