A computational method to price with transaction costs under the nonlinear Black–Scholes model
Author:
Publisher
Elsevier BV
Subject
General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics
Reference38 articles.
1. Differential equations with Mathematica;Abell,2016
2. Variational analysis for the Black and Scholes equation with stochastic volatility;Achdou;M2AN, Math Model Numer Anal,2002
3. On the numerical solution of nonlinear Black–Scholes equations;Ankudinova;Comput Math Appl,2008
4. Dynamic hedging portfolios for derivative securities in the presence of large transaction costs;Avellaneda;Appl Math Finance,1994
5. Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing;Ballestra;J Comput Appl Math,2014
Cited by 14 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. A study on the fractional Black–Scholes option pricing model of the financial market via the Yang-Abdel-Aty-Cattani operator;Engineering Computations;2024-04-29
2. About the valuation of American option under Black-Scholes model : a numerical study;Moroccan Journal of Pure and Applied Analysis;2023-01-01
3. Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations;Numerical Methods for Partial Differential Equations;2022-10-31
4. A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options;Mathematical Methods in the Applied Sciences;2022-04-29
5. Practical finite difference method for solving multi-dimensional black-Scholes model in fractal market;Chaos, Solitons & Fractals;2022-04
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