A numerical method for pricing European options with proportional transaction costs (Q740640)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6339439
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A numerical method for pricing European options with proportional transaction costs |
scientific article; zbMATH DE number 6339439 |
Statements
A numerical method for pricing European options with proportional transaction costs (English)
0 references
4 September 2014
0 references
HJB equations
0 references
optimal feedback control
0 references
global optimizer
0 references
European option pricing
0 references
complementarity problems
0 references
finite difference method
0 references
convergence
0 references
0 references
0 references
0 references
0 references
0 references
0.9036667346954346
0 references
0.9006892442703247
0 references
0.8635586500167847
0 references
0.8591304421424866
0 references