Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

MaRDI QIDQ5454998zbMATH OpenFDO

Authors Hitoshi Imai, Naoyuki Ishimura, Hideo Sakaguchi

Publication date 3 April 2008

Full work available at URL https://eudml.org/doc/33898, http://www.kybernetika.cz/content/2007/6/807

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial value problems for second-order parabolic equations (35K15)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 912565 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Mathematical models of financial derivatives
• On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
• 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
• Some methods for removing singularity and infinity in numerical simulations
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(3)

• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• Multigrid method for a fully nonlinear Black-Scholes equation
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs

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