Finite difference schemes and partial differential equations
Finite difference schemes and partial differential equations
European option pricing with transaction costs
SIAM Journal on Control and Optimization
Computing option pricing models under transaction costs
Computers & Mathematics with Applications
A numerical method for European Option Pricing with transaction costs nonlinear equation
Mathematical and Computer Modelling: An International Journal
A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
LSSC'11 Proceedings of the 8th international conference on Large-Scale Scientific Computing
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This paper deals with the numerical solution of Black-Scholes option pricing partial differential equations by means of semidiscretization technique. For the linear case a fourth-order discretization with respect to the underlying asset variable allows a highly accurate approximation of the solution. For the nonlinear case of interest modeling option pricing with transaction costs, semidiscretization technique provides a competitive numerical solution with respect to others recently given in [B. During, M. Fournier, A. Jungel, Convergence of a high order compact finite difference scheme for a nonlinear Black-Scholes equation, Esaim-Math. Modelling Numer. Anal.-Modelisation Mathematique et Analyse Numerique 38 (2004) 359-369; B. During, Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution, Dissertation, University Mainz, July 2005].