summary:We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black–Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
Mestrado Bolonha em Mathematical FinanceThe classic linear Black-Scholes model for option pricing ha...
summary:We deal with numerical computation of the nonlinear partial differential equations (PDEs) of...
AbstractThis paper deals with the numerical solution of Black–Scholes option pricing partial differe...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
Les modèles mathématiques non linéaires de Black-Scholes sont des modèles qui permettent de valorise...
AbstractNonlinear Black–Scholes equations have been increasingly attracting interest over the last t...
AbstractThis paper deals with the Barles–Soner model arising in the hedging of portfolios for option...
The major contribution of this thesis is the theoretical study of a nonlinear Black-Scholes equation...
Since financial engineering problems are of great importance in the academic community, effective me...
Nonlinear Black-Scholes equations have been increasingly attracting interest over the last two decad...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio ...
Date: 17 February, 2010We deal with the solvablity and a weak formulation of nonlinear partial diffe...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio t...
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
Mestrado Bolonha em Mathematical FinanceThe classic linear Black-Scholes model for option pricing ha...
summary:We deal with numerical computation of the nonlinear partial differential equations (PDEs) of...
AbstractThis paper deals with the numerical solution of Black–Scholes option pricing partial differe...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
Les modèles mathématiques non linéaires de Black-Scholes sont des modèles qui permettent de valorise...
AbstractNonlinear Black–Scholes equations have been increasingly attracting interest over the last t...
AbstractThis paper deals with the Barles–Soner model arising in the hedging of portfolios for option...
The major contribution of this thesis is the theoretical study of a nonlinear Black-Scholes equation...
Since financial engineering problems are of great importance in the academic community, effective me...
Nonlinear Black-Scholes equations have been increasingly attracting interest over the last two decad...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio ...
Date: 17 February, 2010We deal with the solvablity and a weak formulation of nonlinear partial diffe...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio t...
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
Mestrado Bolonha em Mathematical FinanceThe classic linear Black-Scholes model for option pricing ha...