Add to ORKGIn this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolio...
In this work we consider the nonlinear case of Black-Scholes equation and apply it to American optio...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
In this article the Finite Difference method is used to solve the Black Scholes equation. A second o...
Abstract. A nonlinear Black-Scholes equation which models transaction costs arising in the hedging o...
In the field of quantitative financial analysis, the Black-Scholes Model has exerted significant inf...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
This paper provides an efficient and accurate hybrid method to price American standard options in ce...
In this paper we analyze a nonlinear Black-Scholes equation for pricing American style call option i...
Nonlinear Black-Scholes equations have been increasingly attracting interest over the last two decad...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
Date: 17 February, 2010We deal with the solvablity and a weak formulation of nonlinear partial diffe...
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolio...
In this work we consider the nonlinear case of Black-Scholes equation and apply it to American optio...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
In this article the Finite Difference method is used to solve the Black Scholes equation. A second o...
Abstract. A nonlinear Black-Scholes equation which models transaction costs arising in the hedging o...
In the field of quantitative financial analysis, the Black-Scholes Model has exerted significant inf...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
This paper provides an efficient and accurate hybrid method to price American standard options in ce...
In this paper we analyze a nonlinear Black-Scholes equation for pricing American style call option i...
Nonlinear Black-Scholes equations have been increasingly attracting interest over the last two decad...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
Date: 17 February, 2010We deal with the solvablity and a weak formulation of nonlinear partial diffe...
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolio...