Pages that link to "Item:Q2453260"

The following pages link to An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260):

Displaying 31 items.

• A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
• A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term. (Q507925) (← links)
• A class of efficient quadrature-based predictor-corrector methods for solving nonlinear systems (Q671040) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• Solving Black-Scholes equations using fractional generalized homotopy analysis method (Q827357) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (Q1634384) (← links)
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795) (← links)
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation (Q2036089) (← links)
• High order approximation of derivatives with applications to pricing of financial derivatives (Q2043182) (← links)
• On the solution of two-dimensional fractional Black-Scholes equation for European put option (Q2058204) (← links)
• A robust numerical solution to a time-fractional Black-Scholes equation (Q2166825) (← links)
• Numerical solution of an obstacle problem with interval coefficients (Q2178955) (← links)
• Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options (Q2237909) (← links)
• Robust numerical algorithm to the European option with illiquid markets (Q2284751) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• A constructive method for convex solutions of a class of nonlinear Black-Scholes equations (Q2323118) (← links)
• A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← links)
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• Pricing options on investment project expansions under commodity price uncertainty (Q2423283) (← links)
• A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models (Q3297465) (← links)
• A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation (Q5274927) (← links)
• Computation of Delta Greek for Non-linear Models in Mathematical Finance (Q5274981) (← links)
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (Q5737869) (← links)
• (Q6119093) (← links)
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915) (← links)