IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v2y1998i4p369-397.html
   My bibliography  Save this item

Option pricing with transaction costs and a nonlinear Black-Scholes equation

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Golbabai, A. & Ballestra, L.V. & Ahmadian, D., 2013. "Superconvergence of the finite element solutions of the Black–Scholes equation," Finance Research Letters, Elsevier, vol. 10(1), pages 17-26.
  2. Dylan Possamai & Nizar Touzi & H. Mete Soner, 2012. "Large liquidity expansion of super-hedging costs," Papers 1208.3785, arXiv.org, revised Apr 2015.
  3. Valeri Zakamouline, 2005. "A unified approach to portfolio optimization with linear transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(2), pages 319-343, November.
  4. Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.
  5. Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Pricing American Call Option by the Black-Scholes Equation with a Nonlinear Volatility Function," Working Papers REM 2017/18, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  6. Peter Bank & Yan Dolinsky, 2020. "A Note on Utility Indifference Pricing with Delayed Information," Papers 2011.05023, arXiv.org, revised Mar 2021.
  7. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  8. Daniel Sevcovic & Cyril Izuchukwu Udeani, 2021. "Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing," Papers 2106.10498, arXiv.org.
  9. Kumar, Yashveer & Yadav, Poonam & Singh, Vineet Kumar, 2023. "Distributed order Gauss-Quadrature scheme for distributed order fractional sub-diffusion model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  10. C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
  11. Al–Zhour, Zeyad & Barfeie, Mahdiar & Soleymani, Fazlollah & Tohidi, Emran, 2019. "A computational method to price with transaction costs under the nonlinear Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 291-301.
  12. H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs," Papers 1202.6131, arXiv.org, revised Jun 2013.
  13. Yerli, Cigdem & Eksi-Altay, Zehra & Selcuk-Kestel, A. Sevtap, 2023. "On the information content of implied liquidity measure: Evidence from the S&P 500 index options," Finance Research Letters, Elsevier, vol. 57(C).
  14. Johannes Muhle‐Karbe & Zexin Wang & Kevin Webster, 2023. "A Leland model for delta hedging in central risk books," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 504-547, July.
  15. Daniel Sevcovic, 2008. "Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations," Papers 0805.0611, arXiv.org.
  16. Leonid Dolinskyi & Yan Dolinsky, 2024. "Optimal liquidation with high risk aversion and small linear price impact," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 183-198, June.
  17. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  18. Karol Duris & Shih-Hau Tan & Choi-Hong Lai & Daniel Sevcovic, 2015. "Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations," Papers 1511.05661, arXiv.org, revised Nov 2015.
  19. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  20. Daniel Sevcovic, 2017. "Nonlinear Parabolic Equations arising in Mathematical Finance," Papers 1707.01436, arXiv.org.
  21. Olivier Guéant & Jiang Pu, 2017. "Option Pricing And Hedging With Execution Costs And Market Impact," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
  22. Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381, July.
  23. Kumar, Yashveer & Singh, Vineet Kumar, 2021. "Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 531-569.
  24. Ljudmila A. Bordag & Ruediger Frey, 2007. "Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions," Papers 0708.1568, arXiv.org.
  25. Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic, 2016. "Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function," Papers 1611.00885, arXiv.org, revised Nov 2017.
  26. Sergei Fedotov & Sergei Mikhailov, 2001. "Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 179-195.
  27. Pedro Polvora & Daniel Sevcovic, 2021. "Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation," Papers 2108.12598, arXiv.org.
  28. Asaf Cohen & Yan Dolinsky, 2021. "A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model," Papers 2102.11968, arXiv.org, revised Mar 2022.
  29. Soner, H. Mete & Cetin, Umut & Touzi, Nizar, 2010. "Option hedging for small investors under liquidity costs," LSE Research Online Documents on Economics 28992, London School of Economics and Political Science, LSE Library.
  30. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
  31. Daniel Ševčovič & Cyril Izuchukwu Udeani, 2021. "Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing," Mathematics, MDPI, vol. 9(13), pages 1-12, June.
  32. Joaquin Fernandez-Tapia & Olivier Gu'eant, 2020. "Recipes for hedging exotics with illiquid vanillas," Papers 2005.10064, arXiv.org, revised May 2020.
  33. Jiatu Cai & Masaaki Fukasawa, 2014. "Asymptotic replication with modified volatility under small transaction costs," Papers 1408.5677, arXiv.org.
  34. Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
  35. Wei, Dongming & Erlangga, Yogi Ahmad & Zhumakhanova, Gulzat, 2024. "A finite element approach to the numerical solutions of Leland’s model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 582-593.
  36. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2015. "The pricing of contingent claims and optimal positions in asymptotically complete markets," Papers 1509.06210, arXiv.org, revised Sep 2016.
  37. Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function," Working Papers REM 2017/19, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  38. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2003. "High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 767-789.
  39. Nicola Cantarutti & Jo~ao Guerra & Manuel Guerra & Maria do Ros'ario Grossinho, 2016. "Option pricing in exponential L\'evy models with transaction costs," Papers 1611.00389, arXiv.org, revised Nov 2019.
  40. M. Rezaei & A. R. Yazdanian & A. Ashrafi & S. M. Mahmoudi, 2022. "Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 243-280, June.
  41. Ahmadian, D. & Farkhondeh Rouz, O. & Ivaz, K. & Safdari-Vaighani, A., 2020. "Robust numerical algorithm to the European option with illiquid markets," Applied Mathematics and Computation, Elsevier, vol. 366(C).
  42. Paolo Guasoni & Johannes Muhle-Karbe, 2011. "Long Horizons, High Risk Aversion, and Endogeneous Spreads," Papers 1110.1214, arXiv.org, revised Jul 2012.
  43. F. Godin, 2016. "Minimizing CVaR in global dynamic hedging with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 461-475, March.
  44. Pedro Pólvora & Daniel Ševčovič, 2021. "Utility Indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation," JRFM, MDPI, vol. 14(9), pages 1-12, August.
  45. Lai, Tze Leung & Lim, Tiong Wee, 2009. "Option hedging theory under transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 1945-1961, December.
  46. Arias-Calluari, Karina & Najafi, Morteza. N. & Harré, Michael S. & Tang, Yaoyue & Alonso-Marroquin, Fernando, 2022. "Testing stationarity of the detrended price return in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  47. Yingzi Chen & Wansheng Wang & Aiguo Xiao, 2019. "An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1565-1591, April.
  48. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, University Library of Munich, Germany, revised 28 Apr 2004.
  49. Lesmana, Donny Citra & Wang, Song, 2015. "Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 318-330.
  50. Fournié, Michel & Düring, Bertram & Jüngel, Ansgar, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Papers 04/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
  51. Olivier Gu'eant & Jiang Pu, 2013. "Option pricing and hedging with execution costs and market impact," Papers 1311.4342, arXiv.org, revised Apr 2015.
  52. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  53. Dylan Possamai & H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs: the multidimensional case," Papers 1212.6275, arXiv.org, revised Jan 2013.
  54. Maxim Bichuch, 2011. "Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment," Papers 1112.3012, arXiv.org.
  55. Jiatu Cai & Masaaki Fukasawa, 2016. "Asymptotic replication with modified volatility under small transaction costs," Finance and Stochastics, Springer, vol. 20(2), pages 381-431, April.
  56. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org, revised Sep 2014.
  57. repec:dau:papers:123456789/5590 is not listed on IDEAS
  58. Olivier Gu'eant & Jiang Pu & Guillaume Royer, 2013. "Accelerated Share Repurchase: pricing and execution strategy," Papers 1312.5617, arXiv.org, revised Sep 2014.
  59. repec:dau:papers:123456789/5526 is not listed on IDEAS
  60. Yan Dolinsky & Shir Moshe, 2021. "Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact," Papers 2111.00451, arXiv.org, revised Jan 2022.
  61. Maria do Rosario Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function," Papers 1707.00358, arXiv.org, revised Jun 2018.
  62. Yan, Dong & Lin, Sha & Hu, Zhihao & Yang, Ben-Zhang, 2022. "Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
  63. Seda Gulen & Catalin Popescu & Murat Sari, 2019. "A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities," Mathematics, MDPI, vol. 7(8), pages 1-14, August.
  64. Daniel Sevcovic & Magdalena Zitnanska, 2016. "Analysis of the nonlinear option pricing model under variable transaction costs," Papers 1603.03874, arXiv.org.
  65. Maria do Rosario Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations," Papers 1707.00356, arXiv.org.
  66. Dylan Possamai & Guillaume Royer, 2014. "General indifference pricing with small transaction costs," Papers 1401.3261, arXiv.org, revised Apr 2015.
  67. Dongming Wei & Yogi Ahmad Erlangga & Gulzat Zhumakhanova, 2020. "A Finite Element Approach to the Numerical Solutions of Leland's Mode," Papers 2010.13541, arXiv.org.
  68. Umut Çetin & H. Soner & Nizar Touzi, 2010. "Option hedging for small investors under liquidity costs," Finance and Stochastics, Springer, vol. 14(3), pages 317-341, September.
  69. Lu, Xiaoping & Yan, Dong & Zhu, Song-Ping, 2022. "Optimal exercise of American puts with transaction costs under utility maximization," Applied Mathematics and Computation, Elsevier, vol. 415(C).
  70. Jan Kallsen & Johannes Muhle-Karbe, 2012. "Option Pricing and Hedging with Small Transaction Costs," Papers 1209.2555, arXiv.org, revised Dec 2012.
  71. Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič, 2017. "Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 291-308, December.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.