Numerical solution of linear and nonlinear Black–Scholes option pricing equations

Author:

Company Rafael,Navarro Enrique,Ramón Pintos José,Ponsoda Enrique

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference24 articles.

1. Convergence of a high order compact finite difference scheme for a nonlinear Black–Scholes equation;Düring;Esaim–Math. Modelling Numer. Anal.–Modelisation Mathematique et Analyse Numerique,2004

2. B. Düring, Black–Scholes type equations: mathematical analysis, parameter identification & numerical solution, Dissertation, University Mainz, July 2005

3. Option pricing with transaction costs and a nonlinear Black–Scholes equation;Barles;Finance Stochast.,1998

4. Option replication in discrete time with transaction costs;Boyle;J. Finance,1992

5. European option pricing with transaction fees;Davis;SIAM J. Control. Optim.,1993

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