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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. https://doi.org/10.1080/00207160.2015.1108409

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Título: Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
Autor: Egorova, Vera Tan, Shih-Hau Lai, Choi-Hong Company Rossi, Rafael Jódar Sánchez, Lucas Antonio
Entidad UPV: 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
Fecha difusión:
Resumen:
[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 ...[+]
Palabras clave: Nonlinear PDE , Free boundary , Transformation , Finite difference methods , Newton-likemethod , Alternating direction explicit method , 60G40 , 65N06 , 65N12
Derechos de uso: Reserva de todos los derechos
Fuente:
International Journal of Computer Mathematics. (issn: 0020-7160 )
DOI: 10.1080/00207160.2015.1108409
Editorial:
Taylor & Francis
Versión del editor: https://doi.org/10.1080/00207160.2015.1108409
Código del Proyecto:
info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/
info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
Agradecimientos:
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) ...[+]
Tipo: Artículo

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