A numerical method for pricing European options with proportional transaction costs

QR Code

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...

Full description

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

Similar Items

Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
by: Lesmana, D., et al.
Published: (2015)

Convergence analysis of power penalty method for American bond option pricing
by: Zhang, K., et al.
Published: (2013)

Continuously controlled options: derivatives with added flexibility
by: Dokuchaev, Nikolai
Published: (2013)

A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by: Bender, C., et al.
Published: (2017)

A first-order BSPDE for swing option pricing
by: Bender, C., et al.
Published: (2014)

A numerical study for a mining project using real options valuation under commodity price uncertainty
by: Haque, M, et al.
Published: (2014)

Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)

A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method
by: Zhang, Kai, et al.
Published: (2013)

A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)

Advancing the quadrature method in option pricing
by: Su, Haozhe
Published: (2018)

Multiple rescindable options and their pricing
by: Dokuchaev, Nikolai
Published: (2009)

A penalty approach to a discretized double obstacle problem with derivative constraints
by: Wang, Song
Published: (2015)

Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods
by: Kanthamanond, Piti
Published: (2009)

Option pricing and risk management: analytic approaches with GARCH-Lévy dynamics
by: Mozumder, Md. Sharif Ullah
Published: (2011)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Globalization of Barzilai and Borwein Method for Unconstrained Optimization
by: Farid, Mahboubeh
Published: (2009)

A penalty approximation method for a semilinear parabolic double obstacle problem
by: Zhou, Y., et al.
Published: (2014)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Non-transferable non-hedgeable executive stock option pricing
by: Colwell, D., et al.
Published: (2015)

Convergence and Stability of Line Search Methods for Unconstrained Optimization
by: Leong, Wah, et al.
Published: (2013)

New BFGS method for unconstrained optimization problem based on modified Armijo line search
by: Wan, Zhong, et al.
Published: (2012)

Review of Option Pricing Literature and An Online Real-Time Option Pricing Application Development
by: Liu, Shu
Published: (2007)

A robust primal-dual interior-point algorithm for nonlinear programs
by: Liu, X., et al.
Published: (2004)

A new stepsize for gradient method via weak secant equation
by: Leong, Wah June
Published: (2007)

Pricing currency options by generalizations of the mixed fractional brownian motion
by: Shokrollahi, Foad
Published: (2016)

Design of low order quantitative feedback theory and H-infinity-based controllers using particle swarm optimisation for a pneumatic actuator system
by: Ali, Hazem I.
Published: (2010)

A Superconvergent Fitted Finite Volume Method for Black–Scholes Equations Governing European and American Option Valuation
by: Wang, Song, et al.
Published: (2015)

On the largest eigenvalue of a symmetric nonnegative tensor
by: Zhou, Guanglu, et al.
Published: (2013)

Optimal feedback control for dynamic systems with state constraints: An exact penalty approach
by: Lin, Qun, et al.
Published: (2014)

An abstract analysis of optimal goal-oriented adaptivity
by: Feischl, Michael, et al.
Published: (2016)

The generalised discrete algebraic Riccati equation arising in LQ optimal control problems: Part I
by: Ferrante, A., et al.
Published: (2012)

Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
by: ShahNazari, M., et al.
Published: (2015)

Towards global solutions of optimal discrete-valued control problems
by: Woon, S., et al.
Published: (2012)

Global algorithms for nonlinear discrete optimization and discrete-valued optimal control problems
by: Woon, Siew Fang
Published: (2009)

A critical review of discrete filled function methods in solving nonlinear discrete optimization problems
by: Woon, Siew Fang, et al.
Published: (2010)

Numerical analysis of photonic crystal fibres
by: Zdanowicz, Mariusz Rafal
Published: (2008)

Fractional black-scholes models: complete mle with application to fractional option pricing
by: Misiran, Masnita, et al.
Published: (2010)

Topics in financial and computational mathematics
by: Maurer, Simon
Published: (2021)

Barriers to price convergence
by: Glushenkova, Marina, et al.
Published: (2018)