Finite Difference Schemes for Black-Scholes with Asian Option
نویسندگان
چکیده
منابع مشابه
Finite Difference Schemes for a Nonlinear Black-scholes Model with Transaction Cost and Volatility Risk
Several nonlinear Black-Scholes models have been proposed to take transaction cost, large investor performance and illiquid markets into account. One of the most comprehensive models introduced by Barles and Soner in [4] considers transaction cost in the hedging strategy and risk from an illiquid market. In this paper, we compare several finite difference methods for the solution of this model ...
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ژورنال
عنوان ژورنال: Applied Economics and Finance
سال: 2016
ISSN: 2332-7308,2332-7294
DOI: 10.11114/aef.v4i1.2098