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On the numerical solution of nonlinear Black–Scholes equations
16 references·12 citing·28 second hop
On the numerical solution of nonlinear Black–Scholes equations (2008)On the numerical solution of nonlinear Bl…Tools for Computational Finance (2012)Tools for Computational Finan…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Theory of rational option pricing (2005)Theory of rational option pri…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Option pricing with transacti…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network (2021)Numerical solving of the gene…El estudio de los discursos alimentarios desde una perspectiva crítica (2020)El estudio de los discursos a…A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities (2019)A New Approach for the Black–…Numerical solution of generalized Black–Scholes model (2017)Numerical solution of general…Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs (2016)Analysis of the Nonlinear Opt…A Nonlinear Option Pricing Model Through the Adomian Decomposition Method (2015)A Nonlinear Option Pricing Mo…A new efficient numerical method for solving American option under regime switching model (2015)A new efficient numerical met…An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs (2013)An upwind finite difference m…Analytical and Numerical Methods for Pricing Financial Derivatives (2011)Analytical and Numerical Meth…Numerical analysis and simulation of option pricing problems modeling illiquid markets (2010)Numerical analysis and simula…COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2010)COMPARISON OF NUMERICAL AND A…A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (2010)A consistent stable numerical…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)Option pricing: A simplified approach (1979)Optimal Investment and Consumption with Transaction Costs (1994)Exponential Hedging and Entropic Penalties (2002)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 2012Tools for Computational Finance

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220 cited

Cited by

  • 2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs60 cited
  • 2021Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network47 cited
  • 2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited
  • 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs38 cited
  • 2015A new efficient numerical method for solving American option under regime switching model32 cited
  • 2015A Nonlinear Option Pricing Model Through the Adomian Decomposition Method31 cited
  • 2019A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities28 cited
  • 2017Numerical solution of generalized Black–Scholes model24 cited
  • 2010A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets24 cited
  • 2010COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS24 cited
  • 2010Numerical analysis and simulation of option pricing problems modeling illiquid markets24 cited
  • 2020El estudio de los discursos alimentarios desde una perspectiva crítica2 cited