COMPARISON OF NUMERICAL SCHEMES ON MULTI-DIMENSIONAL BLACK-SCHOLES EQUATIONS
نویسندگان
چکیده
منابع مشابه
On the numerical solution of nonlinear Black-Scholes equations
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decades, since they provide more accurate values by taking into account more realistic assumptions, such as transaction costs, risks from an unprotected portfolio, large investor’s preferences or illiquid markets, which may have an impact on the stock price, the volatility, the drift and the option pr...
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ژورنال
عنوان ژورنال: Bulletin of the Korean Mathematical Society
سال: 2013
ISSN: 1015-8634
DOI: 10.4134/bkms.2013.50.6.2035