High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost

DOI10.1080/00207160802609829zbMATH Open1163.91411OpenAlexW2087092441MaRDI QIDQ3636736FDOQ3636736

Authors Wenyuan Liao, A. Q. M. Khaliq 

Publication date 29 June 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160802609829

zbMATH Keywords

option pricingBlack-Scholestransaction costhigh-order compact

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite difference methods for boundary value problems involving PDEs (65N06)

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Cites work

• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• An efficient high-order algorithm for solving systems of reaction-diffusion equations
• European Option Pricing with Transaction Costs
• Extension of high-order compact schemes to time-dependent problems
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• Optimal delta-hedging under transactions costs
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Simulations of transaction costs and optimal rehedging
• The pricing of options and corporate liabilities

Cited in

(28)

• High-order compact finite difference scheme for option pricing in stochastic volatility models
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• Robust numerical algorithm to the European option with illiquid markets
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Penalty and penalty-like methods for nonlinear HJB PDEs
• High order method for Black-Scholes PDE
• A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations
• A class of two-level implicit unconditionally stable methods for a fourth order parabolic equation
• A high-order finite difference method for option valuation
• A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
• Analysis of the nonlinear option pricing model under variable transaction costs
• The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• High-order ADI scheme for option pricing in stochastic volatility models
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• High order approximation of derivatives with applications to pricing of financial derivatives
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• On the stability of a compact finite difference scheme for option pricing
• High order compact schemes for option pricing with liquidity shocks
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
• A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions
• Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
• A second-order positivity preserving numerical method for gamma equation
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• High-order compact finite difference method for Black-Scholes PDE

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