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On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile

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References

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Cited by

2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs60 cited
2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited
2012The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost45 cited

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2009Numerical Methods for Non-Linear Black–Scholes Equations43 cited

2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs38 cited

2007An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation27 cited

2019A computational method to price with transaction costs under the nonlinear Black–Scholes model22 cited