Radial Basis Function in Nonlinear Black-Scholes Option Pricing Equation with Transaction Cost
نویسندگان
چکیده
منابع مشابه
Option pricing with transaction costs and a nonlinear Black-Scholes equation
In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this article is to quantify this dependence on preferences in the specific example of a European call option. This is achieved by using the utility function a...
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Radial basis function (RBF) approximation, is a new extremely powerful tool that is promising for high-dimensional problems, such as those arising from pricing of basket options using the Black-Scholes partial differential equation. The main problem for RBF methods have been ill-conditioning as the RBF shape parameter becomes small, corresponding to flat RBFs. This thesis employs a recently dev...
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ژورنال
عنوان ژورنال: Asian Journal of Probability and Statistics
سال: 2019
ISSN: 2582-0230
DOI: 10.9734/ajpas/2019/v5i330138