scientific article; zbMATH DE number 1795849
From MaRDI portal
Publication:4550916
zbMath1002.91031MaRDI QIDQ4550916
Publication date: 15 January 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (29)
Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations ⋮ Numerical analysis and computing for option pricing models in illiquid markets ⋮ Unnamed Item ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ A high-order finite difference method for option valuation ⋮ A positivity-preserving numerical scheme for nonlinear option pricing models ⋮ Perpetual American Put Option: an Error Estimator for Non-Standard Finite Difference Scheme ⋮ Symmetries and exact solutions of a nonlinear pricing options equation ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations ⋮ Newton-Based Solvers for Nonlinear PDEs in Finance ⋮ Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models ⋮ Alternative Parallel Strategies for Linear and Nonlinear PDEs in Option Pricing ⋮ Fast numerical valuation of options with jump under Merton's model ⋮ Option pricing with an illiquid underlying asset market ⋮ On the numerical solution of nonlinear option pricing equation in illiquid markets ⋮ Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type ⋮ A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets ⋮ Option Pricing in Illiquid Markets with Jumps ⋮ Numerical analysis and simulation of option pricing problems modeling illiquid markets ⋮ Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption ⋮ Robust numerical algorithm to the European option with illiquid markets ⋮ On the numerical solution of nonlinear Black-Scholes equations ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ Nonlinearities in Financial Engineering ⋮ A nonlinear option pricing model through the Adomian decomposition method
This page was built for publication: