Add to ORKGCopyright © 2014 J. Guo and W. Wang.This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction costs. An unconditionally stable and monotone splitting method, ensuring positive numerical solution and avoiding unstable oscillations, is proposed. This numerical method is based on the LOD-Backward Euler method which allows us to solve the discrete equation explicitly. The numerical results for vanilla call option and for European butterfly spread are provided. It turns out that the proposed sch...
In this paper, we evaluate and discuss different numerical methods to solve the Black–Scholes equati...
Les modèles mathématiques non linéaires de Black-Scholes sont des modèles qui permettent de valorise...
In recent years non-linear Black-Scholes models have been used to build transaction costs, market li...
This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction co...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the t...
In financial industry, the option pricing is an important problem. The Operator Splitting Method is ...
A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this pap...
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfoli...
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolio...
summary:We deal with numerical computation of the nonlinear partial differential equations (PDEs) of...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Abstract. A nonlinear Black-Scholes equation which models transaction costs arising in the hedging o...
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and ...
In this paper, we evaluate and discuss different numerical methods to solve the Black–Scholes equati...
Les modèles mathématiques non linéaires de Black-Scholes sont des modèles qui permettent de valorise...
In recent years non-linear Black-Scholes models have been used to build transaction costs, market li...
This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction co...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the t...
In financial industry, the option pricing is an important problem. The Operator Splitting Method is ...
A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this pap...
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfoli...
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolio...
summary:We deal with numerical computation of the nonlinear partial differential equations (PDEs) of...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Abstract. A nonlinear Black-Scholes equation which models transaction costs arising in the hedging o...
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and ...
In this paper, we evaluate and discuss different numerical methods to solve the Black–Scholes equati...
Les modèles mathématiques non linéaires de Black-Scholes sont des modèles qui permettent de valorise...
In recent years non-linear Black-Scholes models have been used to build transaction costs, market li...