Computing option pricing models under transaction costs

被引：4

作者：

Company, R. ^{[1
]}

Jodar, L. ^{[1
]}

Pintos, J. -R. ^{[1
]}

Rosello, M. -D. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Matemat Multidisciplinar, Valencia, Spain

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2010年 / 59卷 / 02期

关键词：

Nonlinear Black-Scholes equation; Call option; Numerical analysis; Semidiscretization; Transaction costs; NUMERICAL-SOLUTION; REPLICATION;

D O I：

10.1016/j.camwa.2009.10.028

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with the Barles-Soner model arising in the hedging of portfolios for option pricing with transaction costs. This model is based on a correction volatility function Psi solution of a nonlinear ordinary differential equation. In this paper we obtain relevant properties of the function Psi which are crucial in the numerical analysis and computing of the underlying nonlinear Black-Scholes equation. Consistency and stability of the proposed numerical method are detailed and illustrative examples are given. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：651 / 662

页数：12

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