Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
نویسندگان
چکیده
منابع مشابه
Option pricing with transaction costs and a nonlinear Black-Scholes equation
In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this article is to quantify this dependence on preferences in the specific example of a European call option. This is achieved by using the utility function a...
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Several nonlinear Black-Scholes models have been proposed to take transaction cost, large investor performance and illiquid markets into account. One of the most comprehensive models introduced by Barles and Soner in [4] considers transaction cost in the hedging strategy and risk from an illiquid market. In this paper, we compare several finite difference methods for the solution of this model ...
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ژورنال
عنوان ژورنال: ESAIM: Mathematical Modelling and Numerical Analysis
سال: 2009
ISSN: 0764-583X,1290-3841
DOI: 10.1051/m2an/2009014