A numerical method for European option pricing with transaction costs nonlinear equation
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Cites work
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- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
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- Limit theorem on option replication cost with transaction costs
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- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
Cited in
(40)- Robust numerical algorithm to the European option with illiquid markets
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Analysis of the nonlinear option pricing model under variable transaction costs
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- Numerical analysis and computing for option pricing models in illiquid markets
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost
- A pseudospectral method for option pricing with transaction costs under exponential utility
- On the numerical solution of nonlinear Black-Scholes equations
- European option under a skew version of the GBM model with transaction costs by an RBF method
- Numerical solutions for option pricing models including transaction costs and stochastic volatility
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- Multigrid method for a fully nonlinear Black-Scholes equation
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation
- A hybrid method for pricing European options based on multiple assets with transaction costs
- Numerical solution via transformation methods of nonlinear models in option pricing
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
- Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- Nonlinear option pricing
- Spline approximation method to solve an option pricing problem
- A numerical method for pricing European options with proportional transaction costs
- An efficient alternating direction explicit method for solving a nonlinear partial differential equation
- Exact solutions and numerical simulation for Bakstein-Howison model
- Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
- A computational method to price with transaction costs under the nonlinear Black-Scholes model
- scientific article; zbMATH DE number 2156839 (Why is no real title available?)
- Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- High-order exponential spline method for pricing European options
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
- A positivity-preserving numerical scheme for nonlinear option pricing models
- Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
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