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Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

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Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

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Egorova, V.; Tan, S.; Lai, C.; Company Rossi, R.; Jódar Sánchez, LA. (2017). Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. International Journal of Computer Mathematics. 94(2):345-362. doi:10.1080/00207160.2015.1108409

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/102165

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Title: Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
Author:
UPV Unit: Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
[EN] The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed problem is ...[+]
Subjects: Nonlinear PDE , Free boundary , Transformation , Finite difference methods , Newton-likemethod , Alternating direction explicit method , 60G40 , 65N06 , 65N12
Copyrigths: Reserva de todos los derechos
Source:
International Journal of Computer Mathematics. (issn: 0020-7160 )
DOI: 10.1080/00207160.2015.1108409
Publisher:
Taylor & Francis
Publisher version: https://doi.org/10.1080/00207160.2015.1108409
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
Thanks:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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