An algorithm for the quasivariational inequality arising in option pricing with transaction costs II
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References listed on IDEAS
- 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.
- 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.
More about this item
KeywordsComputational algorithm; option pricing; transaction costs; quasivariational inequality; dynamic optimization; stochastic control; numerical analysis;
- 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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