On CNN model of Black-Scholes equation with Leland correction

DOI10.7546/CRABS.2018.02.03MaRDI QIDQ4684563zbMATH OpenOpenAlexFDO

Authors Angela Slavova, Nikolay Kyurkchiev

Publication date 1 October 2018

Full work available at URL https://doi.org/10.7546/crabs.2018.02.03

zbMATH Keywords

Black-Scholes equationCellular Neural Networkscoefficient of variationLeland correctionmarket priceprogramming environment MATHEMATICAtransaction Leland cost parameter

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Complexity and performance of numerical algorithms (65Y20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• On a hypothetical model of modified Black-Scholes equation with dividends

Describes a project that uses

Uses Software

• Mathematica

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