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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
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Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costsDremkova, Ekaterina January 2009 (has links)
<p>In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.</p>
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A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costsDremkova, Ekaterina January 2009 (has links)
In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.
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