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
收藏
页码：651 / 662
页数：12
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