A finite element approach to the numerical solutions of Leland’s model

Author:

Wei Dongming,Erlangga Yogi AhmadORCID,Zhumakhanova Gulzat

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Computational methods for option pricing;Achdou,2005

2. Almeida, R. M. P., Chihaluca, T. D. C., & Duque, J. C. M. (2017). Hermite finite element method for nonlinear Black-Scholes equation governing European options. In J. Vigo-Aguiar et al. (Ed.), Proceedings of the 17th International Conference on Computational and Mathematical Methods in Science and Engineering.

3. Real options pricing by the finite element method;Andalaft-Chacur;Computers & Mathematics with Applications,2011

4. On the numerical solution of nonlinear Black-Scholes equations;Ankudinova;Computers & Mathematics with Applications,2008

5. Dynamic hedging portfolios for derivative securities in the presence of large transaction costs;Avellaneda;Applied Mathematical Finance,1994

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