A numerical method for pricing European options with proportional transaction costs

A numerical method for pricing European options with proportional transaction costs

In the paper,we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation ofEuropean options with proportional transaction costs. We show...

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Bibliographic Details
Main Authors: Li, W., Wang, Song
Other Authors: Adil Bagirov
Format: Conference Paper
Published: Kluwer Academic Publishers 2014
Subjects:
Optimal feedback control
Complementarity problems
Convergence
Global optimizer
European option pricing
Finite difference method
HJB equations
Online Access:http://hdl.handle.net/20.500.11937/10608

Internet

http://hdl.handle.net/20.500.11937/10608

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