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An algorithm for the quasivariational inequality arising in option pricing with transaction costs II

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  • Tetsuya Noguchi
  • Berc Rustem

Abstract

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Suggested Citation

  • Tetsuya Noguchi & Berc Rustem, 2002. "An algorithm for the quasivariational inequality arising in option pricing with transaction costs II," Computing in Economics and Finance 2002 379, Society for Computational Economics.
  • Handle: RePEc:sce:scecf2:379
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    References listed on IDEAS

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    1. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    2. Berç Rustem & Tetsuya Noguchi & Michael Selby, 1999. "Computational Algorithms for Vertical Complementarity Arising in Finance," Computing in Economics and Finance 1999 931, Society for Computational Economics.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Computational algorithm; option pricing; transaction costs; quasivariational inequality; dynamic optimization; stochastic control; numerical analysis;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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