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

Author

Listed:
  • 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 I," Computing in Economics and Finance 2002 378, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:378
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    Cited by:

    1. 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.

    More about this item

    Keywords

    omputational algorithm; option pricing; transaction costs; quasivariational inequality; dynamic optimization; stochastic control; numerical analysis;
    All these keywords.

    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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