Numerical solution of linear and nonlinear Black-Scholes option pricing equations
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Publication:1004744
DOI10.1016/J.CAMWA.2008.02.010zbMATH Open1155.65370OpenAlexW2006465918MaRDI QIDQ1004744FDOQ1004744
Authors: Enrique Navarro, R. Company, José-Ramón Pintos, E. Ponsoda 
Publication date: 12 March 2009
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2008.02.010
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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- A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
- A master equation approach to option pricing
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- Recent advances in numerical solution of HJB equations arising in option pricing
- A high-order finite difference method for option valuation
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- Solving a nonlinear PDE that prices real options using utility based pricing methods
- An accurate solution for the generalized Black-Scholes equations governing option pricing
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- Numerical option pricing without oscillations using flux limiters
- Analysis of the nonlinear option pricing model under variable transaction costs
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- A splitting numerical scheme for non-linear models of mathematical finance
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- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
- Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
- Exact and numerical solution of Black--Scholes matrix equation
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- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
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- Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
- An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
- Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
- Adomian series solution of a generalized Black-Scholes equation and its numerical computation
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- Weak solution of non-Newtonian polytropic variational inequality in fresh agricultural product supply chain problem
- Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- Numerical solution via transformation methods of nonlinear models in option pricing
- Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- An efficient alternating direction explicit method for solving a nonlinear partial differential equation
- A different approach to the European option pricing model with new fractional operator
- An efficient computational algorithm for pricing European, barrier and American options
- Solution of option pricing equations using orthogonal polynomial expansion.
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)
- On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
- Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
- High accurate modified WENO method for the solution of Black-Scholes equation
- Stationary Solutions of Some Nonlinear Black–Scholes Type Equations Arising in Option Pricing
- Robust numerical algorithm to the European option with illiquid markets
- WENO and blended BDF discretizations for option pricing problems
- Computing option pricing models under transaction costs
- Fractional Black-Scholes model with regularized Prabhakar derivative
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