A hybrid method for pricing European options based on multiple assets with transaction costs
Year of publication: |
1999
|
---|---|
Authors: | Pacelli, Graziella ; Recchioni, Maria Cristina ; Zirilli, Francesco |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 6.1999, 2, p. 61-85
|
Publisher: |
Taylor & Francis Journals |
Subject: | Options Pricing | Multiple Assets | Transaction Costs | Partial Differential Equations | Asymptotic | Expansion | Numerical Method |
-
Pseudospectral methods for pricing options
Suh, Sangwon, (2009)
-
Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim, (2015)
-
Asymptotic analysis of long-term investment with two illiquid and correlated assets
Chen, Xinfu, (2022)
- More ...
-
A hybrid method for pricing European options based on multiple assets with transaction costs
Pacelli, Graziella, (1999)
-
Pacelli, Graziella, (1999)
-
Ballestra, Luca Vincenzo, (2007)
- More ...