High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost.
Wenyuan LiaoAbdul Q. M. KhaliqPublished in: Int. J. Comput. Math. (2009)
Keyphrases
- high order
- solving nonlinear
- transaction costs
- nonlinear equations
- black scholes
- stock exchange
- higher order
- pairwise
- artificial bee colony algorithm
- numerical methods
- option pricing
- augmented lagrangian
- partial differential equations
- stock market
- markov random field
- equality constraints
- stock price
- neural network
- financial data
- financial time series
- text classification
- genetic algorithm
- machine learning
- data mining