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On the numerical solution of nonlinear Black–Scholes equations · Study

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ArticleOn the numerical solution of nonlinear Black–Scholes equations

Julia Ankudinova2008

OA

Articlebronze2008

On the numerical solution of nonlinear Black–Scholes equations

Julia Ankudinova · Matthias Ehrhardt

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

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2005Controlled Markov Processes and Viscosity Solutions 1995The Mathematics of Financial Derivatives 1994Controlled markov processes and viscosity solutions 1985Option Pricing and Replication with Transactions Costs 1989Optimal replication of contingent claims under transaction costs

Cited by

2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs 2021Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network 2011Analytical and Numerical Methods for Pricing Financial Derivatives 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs 2015A new efficient numerical method for solving American option under regime switching model 2015

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1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferencesarticle · 10 shared references 2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictionsarticle · 9 shared references 2004European option pricing and hedging with both fixed and proportional transaction costsarticle · 9 shared references 2000Option pricing and replication with transaction costs and dividendsarticle · 9 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 1997Optimal delta-hedging under transactions costsarticle · 8 shared references

Details

Year2008

Typearticle

Published2008-03-13

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations155

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2008.02.005

openalex_workW2015726575

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A Nonlinear Option Pricing Model Through the Adomian Decomposition Method

2019A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities