Computing option pricing models under transaction costs
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Publication:980254
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
semidiscretization; transaction costs; numerical analysis; call option; nonlinear Black-Scholes equation
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.)
Related Items
Cites Work
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