A numerical method for pricing European options with proportional transaction costs
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Cites work
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- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A power penalty approach to a nonlinear complementarity problem
- A power penalty approach to numerical solutions of two-asset American options
- A power penalty method for linear complementarity problems
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Computation of reservation prices of options with proportional transaction costs
- Computational Methods for Option Pricing
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- European Option Pricing with Transaction Costs
- European option pricing and hedging with both fixed and proportional transaction costs
- Numerical schemes for variational inequalities arising in international asset pricing
- Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
- ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
- On the Convergence of Policy Iteration in Stationary Dynamic Programming
- On the convergence of policy iteration for controlled diffusions
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal delta-hedging under transactions costs
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing American bond options using a penalty method
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
- Some Relations Between Nonexpansive and Order Preserving Mappings
- The pricing of options and corporate liabilities
- Two approximations of solutions of Hamilton-Jacobi equations
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(21)- Using computational methodology to price European options with actual payoff distributions
- scientific article; zbMATH DE number 2156839 (Why is no real title available?)
- A hybrid method for pricing European options based on multiple assets with transaction costs
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- Recent advances in numerical solution of HJB equations arising in option pricing
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- Numerical computation on path dependent European option with fixed trade cost rate
- Numerical solution of an obstacle problem with interval coefficients
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
- scientific article; zbMATH DE number 6453652 (Why is no real title available?)
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- A pseudospectral method for option pricing with transaction costs under exponential utility
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- A penalty approach to a discretized double obstacle problem with derivative constraints
- Valuation of European options with stochastic interest rates and transaction costs
- European option under a skew version of the GBM model with transaction costs by an RBF method
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