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Numerical solution of linear and nonlinear Black–Scholes option pricing equations · Study

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ArticleNumerical solution of linear and nonlinear Black–Scholes option pricing equations

Enrique Navarro2008

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Articlebronze2008

Numerical solution of linear and nonlinear Black–Scholes option pricing equations

Enrique Navarro · José-Ramón Pintos · E. Ponsoda

93 citations·0/0 files stored·Computers & Mathematics with Applications

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

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References

1985Option Pricing and Replication with Transactions Costs 1994Option pricing: Mathematical models and computation 1990Market Liquidity, Hedging, and Crashes 2000Pricing Financial Instruments: The Finite Difference Method 1993European Option Pricing with Transaction Costs 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 1992Option Replication in Discrete Time with Transaction Costs 1992Market Manipulation, Bubbles, Corners, and Short Squeezes

Cited by

2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs 2009A numerical method for European Option Pricing with transaction costs nonlinear equation 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs 2012Superconvergence of the finite element solutions of the Black–Scholes equation 2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions

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2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equationarticle · 12 shared references 2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equationarticle · 9 shared references 2020Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing modelarticle · 8 shared references 2009A numerical method for European Option Pricing with transaction costs nonlinear equationarticle · 7 shared references 2008On the numerical solution of nonlinear Black–Scholes equationsarticle · 6 shared references 2012Finite-Element Methodschapter · 6 shared references

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Year2008

Typearticle

Published2008-03-21

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations93

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2008.02.010

openalex_workW2006465918

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2017

Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions