Moving boundary transformation for American call options with transaction cost: finite difference methods and computing-Reference-Cited by-同舟云学术

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Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

Published:2015-12-08 Issue:2 Volume:94 Page:345-362
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Egorova V.N.,Tan S.-H.,Lai C.-H.,Company R.,Jódar L.

Funder

European Union in the FP7- PEOPLE-2012-ITN program

Ministerio de Economía y Competitividad Spanish grant

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

http://www.tandfonline.com/doi/pdf/10.1080/00207160.2015.1108409

Reference35 articles.

1. On the numerical solution of nonlinear Black–Scholes equations

2. Pricing and hedging derivative securities in markets with uncertain volatilities

3. Option pricing with transaction costs and a nonlinear Black-Scholes equation

4. The Pricing of Options and Corporate Liabilities

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Deep Learning and American Options via Free Boundary Framework;Computational Economics;2023-09-20

2. A Numerical Schemefor the Probability Density of the First Hitting Time for Some Random Processes;Symmetry;2020-11-20

3. Numerical Analysis of Novel Finite Difference Methods;Novel Methods in Computational Finance;2017

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