Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
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Publication:5454998
zbMATH Open1213.91160MaRDI QIDQ5454998FDOQ5454998
Authors: Hitoshi Imai, Naoyuki Ishimura, Hideo Sakaguchi 
Publication date: 3 April 2008
Full work available at URL: https://eudml.org/doc/33898
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Cites Work
- The pricing of options and corporate liabilities
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- Mathematical models of financial derivatives
- The Mathematics of Financial Derivatives
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- Some methods for removing singularity and infinity in numerical simulations
- Title not available (Why is that?)
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