A numerical method for European Option Pricing with transaction costs nonlinear equation.
Rafael CompanyLucas JódarJosé Ramón PintosPublished in: Math. Comput. Model. (2009)
Keyphrases
- numerical methods
- black scholes
- transaction costs
- option pricing
- differential equations
- partial differential equations
- stock exchange
- numerical solution
- black scholes model
- portfolio selection
- level set method
- high order
- multiscale
- decision making
- decision analysis
- finite difference
- long term
- image processing
- machine learning