Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk

zbMATH Open1349.91311MaRDI QIDQ2945121FDOQ2945121

Authors: S. Mashayekhi, Jens Hugger 

Publication date: 9 September 2015

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zbMATH Keywords

transaction costsfinite difference schemesilliquidityBarles-Soner modelnonlinear Black-Scholes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (14)

• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• A high-order finite difference method for option valuation
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• Numerical methods for non-linear Black-Scholes equations
• Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• On the numerical solution of nonlinear Black-Scholes equations
• A numerical method for European option pricing with transaction costs nonlinear equation
• A weighted finite difference method for subdiffusive Black-Scholes model
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
• A constructive method for convex solutions of a class of nonlinear Black-Scholes equations
• An efficient computational algorithm for pricing European, barrier and American options
• Exact solutions and numerical simulation for Bakstein-Howison model

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