A numerical method for pricing European options with proportional transaction costs
From MaRDI portal
Publication:740640
DOI10.1007/s10898-014-0155-5zbMath1298.91188WikidataQ59416159 ScholiaQ59416159MaRDI QIDQ740640
Publication date: 4 September 2014
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-014-0155-5
convergence; optimal feedback control; finite difference method; complementarity problems; HJB equations; European option pricing; global optimizer
91G60: Numerical methods (including Monte Carlo methods)
90C26: Nonconvex programming, global optimization
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
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