Arbeitspapier

High order compact finite difference schemes for a nonlinear Black-Scholes equation

zu Verbundenen Objekten

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized. The numerical results are compared to standard finite difference schemes. It turns out that the compact schemes have very satisfying stability and non-oscillatory properties and are generally more e±cient than the considered classical schemes.

Sprache
Englisch

Erschienen in
Series: CoFE Discussion Paper ; No. 01/07

Klassifikation
Wirtschaft
Thema
Option pricing
transaction costs
parabolic equations
compact finite difference discretizations
Black-Scholes-Modell
Nichtlineare Optimierung
Hedging
Transaktionskosten
Theorie

Ereignis
Geistige Schöpfung
(wer)
Düring, Bertram
Fournié, Michel
Jüngel, Ansgar
Ereignis
Veröffentlichung
(wer)
University of Konstanz, Center of Finance and Econometrics (CoFE)
(wo)
Konstanz
(wann)
2001

Handle
URN
urn:nbn:de:bsz:352-opus-7191
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Düring, Bertram
  • Fournié, Michel
  • Jüngel, Ansgar
  • University of Konstanz, Center of Finance and Econometrics (CoFE)

Entstanden

  • 2001

Ähnliche Objekte (12)

High order compact finite difference schemes for a nonlinear Black-Scholes equation

High order compact finite difference schemes for a nonlinear Black-Scholes equation

High order compact finite difference schemes for a nonlinear Black-Scholes equation

High order compact finite difference schemes for a nonlinear Black-Scholes equation

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

Arbeitspapier

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

A universal difference method for time-space fractional Black-Scholes equation

A universal difference method for time-space fractional Black-Scholes equation

Finite Difference Methods for the Non-Linear Black-Scholes-Barenblatt Equation

Hochschulschrift

Finite Difference Methods for the Non-Linear Black-Scholes-Barenblatt Equation

Finite difference schemes for the parabolic p-Laplace equation

Finite difference schemes for the parabolic p-Laplace equation

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

Additive operator-difference schemes : splitting schemes

Additive operator-difference schemes : splitting schemes

High-order blended compact difference schemes for the 3D elliptic partial differential equation with mixed derivatives and variable coefficients

High-order blended compact difference schemes for the 3D elliptic partial differential equation with mixed derivatives and variable coefficients

Fixed domain transformations and split-step finite difference schemes for Nonlinear Black-Scholes equations for American Options

Fixed domain transformations and split-step finite difference schemes for Nonlinear Black-Scholes equations for American Options

Compact difference scheme for two-dimensional fourth-order hyperbolic equation

Compact difference scheme for two-dimensional fourth-order hyperbolic equation

Exact finite-difference schemes

Exact finite-difference schemes

Verbundene Objekte