Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (Q380461)
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scientific article; zbMATH DE number 6226864
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| English | Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme |
scientific article; zbMATH DE number 6226864 |
Statements
Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (English)
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14 November 2013
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Hamilton-Jacobi-Bellman equations
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American option valuation
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penalty methods
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upwind finite difference method
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0.9006892442703247
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0.8957126140594482
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0.8823362588882446
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0.8401839137077332
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