Operator splitting kernel based numerical method for a generalized Leland’s model
Author:
Funder
European Union
Bulgarian National Fund of Science
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference18 articles.
1. Option pricing and replication with transactions costs;Leland;J. Finance,1985
2. Hedging option portfolios in the presence of transaction costs;Hoggard;Adv. Futures Opt. Res.,1994
3. On the Hoggard–Whalley–Wilmott equation for the pricing of options with transaction costs;Imai;Asia-Pac. Financ. Markets,2006
4. Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance;SenGupta;Differ. Equ. Dyn. Syst.,2012
5. Remarks on the nonlinear Black–Scholes equations with the effect of transaction costs;Ishimura;Asia-Pac. Financ. Markets,2010
Cited by 4 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. Convergence Analysis of the Variational Operator Splitting Scheme for a Reaction-Diffusion System with Detailed Balance;SIAM Journal on Numerical Analysis;2022-04
2. A structure-preserving, operator splitting scheme for reaction-diffusion equations with detailed balance;Journal of Computational Physics;2021-07
3. A second order operator splitting numerical scheme for the “good” Boussinesq equation;Applied Numerical Mathematics;2017-09
4. Recent trends on Computational and Mathematical Methods in Science and Engineering (CMMSE);J COMPUT APPL MATH;2015
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3