| Title:
|
Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs (English) |
| Author:
|
Imai, Hitoshi |
| Author:
|
Ishimura, Naoyuki |
| Author:
|
Sakaguchi, Hideo |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
43 |
| Issue:
|
6 |
| Year:
|
2007 |
| Pages:
|
807-815 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
transaction costs |
| Keyword:
|
nonlinear partial differential equation |
| Keyword:
|
numerical computation |
| MSC:
|
35K15 |
| MSC:
|
65M99 |
| MSC:
|
91B28 |
| idZBL:
|
Zbl 1213.91160 |
| idMR:
|
MR2388395 |
| . |
| Date available:
|
2009-09-24T20:29:46Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135817 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
[3] Dewynne J. N., Whalley A. E., Wilmott P.: Path-dependent options and transaction costs.In: Mathematical Models in Finance (S. D. Howison, F. P. Kelly, and P. Wilmott, eds.), Chapman and Hall, London 1995, pp. 67–79 Zbl 0854.90009 |
| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
[8] Ishimura N.: Remarks on the nonlinear partial differential equations of Black–Scholes type with transaction costs.preprint. Submitted |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
|
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| . |
