A distributed algorithm for European options with nonlinear volatility

DOI10.1016/j.camwa.2004.03.014zbMath1122.91035OpenAlexW1981590152MaRDI QIDQ2485516

Yanyan Li

Publication date: 5 August 2005

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: http://gala.gre.ac.uk/id/eprint/909/1/%28item_909%29_LAI_PARROTT_ROUT_2005.pdf

zbMATH Keywords

Black-Scholes equationOption pricingFinite-difference schemesNonlinear volatility

Mathematics Subject Classification ID

Related Items (4)

Asynchronous time-parallel method based on Laplace transform ⋮ Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps ⋮ Laplace transform and finite difference methods for the Black-Scholes equation ⋮ A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance

Cites Work

• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• What is the Laplace Transform?
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