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

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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)

Cites Work

• The pricing of options and corporate liabilities
• An efficient high-order algorithm for solving systems of reaction-diffusion equations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• European Option Pricing with Transaction Costs
• Extension of high-order compact schemes to time-dependent problems
• Optimal delta-hedging under transactions costs
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• Title not available (Why is that?)
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• Simulations of transaction costs and optimal rehedging

Cited In (28)

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

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