Global in Space Simulation for the Black-Scholes Equation Incorporating Transaction Costs

Global in Space Simulation for the Black-Scholes Equation Incorporating Transaction Costs

We propose a sophisticated method to numerically compute the partial differential equations (PDEs) of Black-Scholes type as they are. The method overcomes the difficulty of infinite domains and unbounded values of the solution. As an application we deal with the PDE with the effect of transaction co...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Theoretical and Applied Mechanics Japan 2008, Vol.56, pp.445-450
Hauptverfasser: JIN, Zhenyu, SAKAGUCHI, Hideo, ISHIMURA, Naoyuki, IMAI, Hitoshi
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We propose a sophisticated method to numerically compute the partial differential equations (PDEs) of Black-Scholes type as they are. The method overcomes the difficulty of infinite domains and unbounded values of the solution. As an application we deal with the PDE with the effect of transaction costs.
ISSN:1348-0693
1349-4244
DOI:10.11345/nctam.56.445