A numerical method for pricing European options with proportional transaction costs
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Publication:740640
DOI10.1007/S10898-014-0155-5zbMATH Open1298.91188DBLPjournals/jgo/LiW14OpenAlexW2026362690WikidataQ59416159 ScholiaQ59416159MaRDI QIDQ740640FDOQ740640
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
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convergencefinite difference methodEuropean option pricingoptimal feedback controlcomplementarity problemsHJB equationsglobal optimizer
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Nonconvex programming, global optimization (90C26) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (21)
- 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
- Numerical computation on path dependent European option with fixed trade cost rate
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- 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
- Title not available (Why is that?)
- 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
- Valuation of European options with stochastic interest rates and transaction costs
- A penalty approach to a discretized double obstacle problem with derivative constraints
- European option under a skew version of the GBM model with transaction costs by an RBF method
- Using computational methodology to price European options with actual payoff distributions
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