Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Maria do Rosário Grossinho, Yaser Faghan Kord and Daniel Ševčovič
| Year of publication: |
2020
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|---|---|
| Authors: | Grossinho, Maria do Rosário ; Kord, Yaser ; Ševčovič, Daniel |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 4, p. 93-113
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| Subject: | variational inequality | finite-difference scheme | American option pricing | nonlinear Black-Scholes equation | variable transaction costs | projected succesive over-relaxation (PSOR) method | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Optionsgeschäft | Option trading | Transaktionskosten | Transaction costs | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.379 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012212488