Computing option pricing models under transaction costs

DOI10.1016/j.camwa.2009.10.028zbMath1189.91203MaRDI QIDQ980254

M. D. Roselló, Rafael Company, José-Ramón Pintos, Lucas Jodar

Publication date: 28 June 2010

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2009.10.028

zbMATH Keywords

semidiscretization; transaction costs; numerical analysis; call option; nonlinear Black-Scholes equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)