An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs.
Donny Citra LesmanaSong WangPublished in: Appl. Math. Comput. (2013)
Keyphrases
- finite difference method
- finite difference
- transaction costs
- black scholes
- option pricing
- real option
- stock exchange
- numerical methods
- partial differential equations
- numerical solution
- stock price
- finite element
- stock market
- numerical analysis
- black scholes model
- diffusion equation
- heat equation
- level set
- decision makers
- differential equations
- finite element method
- decision making
- anisotropic diffusion
- financial time series
- life cycle
- financial markets
- power plant
- image denoising
- portfolio selection
- financial data
- decision analysis
- higher order
- image segmentation
- computer vision