An algorithm for the quasivariational inequality arising in option pricing with transaction costs II
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Noguchi, Tetsuya ; Rustem, Berc |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Computational algorithm | option pricing | transaction costs | quasivariational inequality | dynamic optimization | stochastic control | numerical analysis |
| Extent: | application/postscript |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 379 |
| Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005537651