A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
DOI10.1007/s40314-014-0156-5zbMath1351.91024OpenAlexW2071257443MaRDI QIDQ747194
Yan Zhang, Wei Li, Miao Han, Lei Han, Sheng-Wu Zhou
Publication date: 23 October 2015
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-014-0156-5
Numerical methods (including Monte Carlo methods) (91G60) 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)
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Cites Work
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