Pages that link to "Item:Q3636736"
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The following pages link to High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost (Q3636736):
Displayed 22 items.
- High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
- Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351) (← links)
- A second-order positivity preserving numerical method for gamma equation (Q902565) (← links)
- Analysis of the nonlinear option pricing model under variable transaction costs (Q1627683) (← links)
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795) (← links)
- A class of two-level implicit unconditionally stable methods for a fourth order parabolic equation (Q1738120) (← links)
- A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions (Q2009260) (← links)
- High order approximation of derivatives with applications to pricing of financial derivatives (Q2043182) (← links)
- Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765) (← links)
- Robust numerical algorithm to the European option with illiquid markets (Q2284751) (← links)
- High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
- A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511) (← links)
- On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
- Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (Q3304790) (← links)
- Nonlinear Parabolic Equations Arising in Mathematical Finance (Q4626488) (← links)
- Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
- High Order Compact Schemes for Option Pricing with Liquidity Shocks (Q4626511) (← links)
- The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (Q4903545) (← links)
- A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations (Q6184720) (← links)
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915) (← links)