Found 44 Documents (Results 1–44)
Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black-Scholes equation. (English) Zbl 1478.35015
Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options. (English) Zbl 1471.91614
Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method. (English) Zbl 1484.91517
An efficient alternating direction explicit method for solving a nonlinear partial differential equation. (English) Zbl 1459.65156
Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method. (English) Zbl 1449.90170
MSC:
90B50
The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs. (English) Zbl 1433.91174
A constructive method for convex solutions of a class of nonlinear Black-Scholes equations. (English) Zbl 1420.35141
Accounting of transaction costs for delta-hedging of options. (Russian. English summary) Zbl 1470.91273
MSC:
91G20
A computational method to price with transaction costs under the nonlinear Black-Scholes model. (English) Zbl 1448.91322
Simulation of feedback effects for futures-style options pricing on Moscow exchange. (Russian. English summary) Zbl 1465.91111
Symmetry reduction and exact solutions of the non-linear Black-Scholes equation. (English) Zbl 1470.35141
Fast computational approach to the delta Greek of non-linear Black-Scholes equations. (English) Zbl 1432.91139
Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black-Scholes assumption. (English) Zbl 1427.91272
Nonlinear parabolic equations arising in mathematical finance. (English) Zbl 1420.91521
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 3-15 (2017).
A numerical scheme for pricing American options with transaction costs under a jump diffusion process. (English) Zbl 1422.91768
Computation of delta Greek for non-linear models in mathematical finance. (English) Zbl 1367.91195
Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 430-438 (2017).
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. (English) Zbl 1364.91151
A new efficient numerical method for solving American option under regime switching model. (English) Zbl 1443.91327
Analysis of the nonlinear option pricing model under variable transaction costs. (English) Zbl 1418.91538
Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation. (English) Zbl 1410.91489
Constructing positive reliable numerical solution for American call options: a new front-fixing approach. (English) Zbl 1329.91138
Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs. (English) Zbl 1328.91275
High accurate modified WENO method for the solution of Black-Scholes equation. (English) Zbl 1314.91238
Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost. (English) Zbl 1470.65176
Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation. (English) Zbl 1407.91273
Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform. (English) Zbl 1299.91179
Solution of the fractional Black-Scholes option pricing model by finite difference method. (English) Zbl 1291.91235
An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs. (English) Zbl 1288.91193
Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance. (English) Zbl 1286.65100
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets. (English) Zbl 1262.91146
MSC:
91G60
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations. (English) Zbl 1246.91152
Günther, Michael (ed.) et al., Progress in industrial mathematics at ECMI 2010. Proceedings of the 16th European conference on mathematics for industry, Wuppertal, Germany, July 26–30, 2010. Berlin: Springer (ISBN 978-3-642-25099-6/hbk; 978-3-642-25100-9/ebook). Mathematics in Industry 17, 207-213 (2012).
Symmetry analysis of the option pricing model with dividend yield from financial markets. (English) Zbl 1203.91297
Comparison of numerical and analytical approximations of the early exercise boundary of American put options. (English) Zbl 1216.35182
Numerical analysis and simulation of option pricing problems modeling illiquid markets. (English) Zbl 1193.91152
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