Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

Title:

Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

Creator:

Imai, Hitoshi, Ishimura, Naoyuki, and Sakaguchi, Hideo

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:c7db7f10-5157-405a-b558-df0844bda496
uuid:c7db7f10-5157-405a-b558-df0844bda496

Subject:

transaction costs, nonlinear partial differential equation, and numerical computation

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black-Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[807]-815

Source:

Kybernetika | 2007 Volume:43 | Number:6

Harvested from:

CDK

Metadata only:

false