Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
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Publication:3647543
DOI10.1051/m2an/2009014zbMath1175.91071OpenAlexW2102703252MaRDI QIDQ3647543
José-Ramón Pintos, Rafael Company, Lucas Jodar
Publication date: 23 November 2009
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/194486
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Related Items (4)
A positivity-preserving numerical scheme for nonlinear option pricing models ⋮ Moving boundary transformation for American call options with transaction cost: finite difference methods and computing ⋮ Removing the correlation term in option pricing Heston model: numerical analysis and computing ⋮ Numerical analysis and simulation of option pricing problems modeling illiquid markets
Cites Work
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- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- European Option Pricing with Transaction Costs
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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