Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
alternating direction explicit methodfinite difference methodsfree boundaryNewton-like methodnonlinear PDEtransformation
Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Constructing positive reliable numerical solution for American call options: a new front-fixing approach
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- A Numerical Approach for the American Call Option Pricing Model
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- Analysis of the free boundary for the pricing of an American call option
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- Constructing positive reliable numerical solution for American call options: a new front-fixing approach
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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- Numerical convergence properties of option pricing PDEs with uncertain volatility
- Numerical methods for non-linear Black-Scholes equations
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- On the numerical solution of nonlinear Black-Scholes equations
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
- Numerical analysis of novel finite difference methods
- Newton-based solvers for nonlinear PDEs in finance
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