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The numerical approximation of nonlinear Black-Scholes model for exotic path-dependent American options with transaction cost.
Muhammad Yousuf
A. Q. M. Khaliq
Britta Kleefeld
Published in:
Int. J. Comput. Math. (2012)
Keyphrases
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black scholes model
transaction costs
option pricing
stock exchange
stock price
black scholes
stock market
decision analysis
neural network
portfolio selection
np hard
decision support system
sensitivity analysis
numerical methods