کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1137219 1489178 2009 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A numerical method for European Option Pricing with transaction costs nonlinear equation
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
A numerical method for European Option Pricing with transaction costs nonlinear equation
چکیده انگلیسی

This paper deals with the construction of a finite difference scheme and the numerical analysis of its solution for a nonlinear Black–Scholes partial differential equation modelling stock option pricing in the realistic case when transaction costs arising in the hedging of portfolios are taken into account. The analysed model is the Barles–Soner one for which an appropriate fully nonlinear numerical method has not still applied. After construction of the numerical solution, consistency and stability are studied and some illustrative examples are included.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 50, Issues 5–6, September 2009, Pages 910–920
نویسندگان
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