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On a numerical approximation scheme for construction of the . . .
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by Daniel Sevcovic
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164
Option pricing and replication with transaction costs
- Leland - 1985
93
Mathematical Models of Financial Derivatives
- Kwok - 2008
50
Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Barles, Soner
40
A.: Market volatility and feedback effects from dynamic hedging
- Frey, Stremme - 1997
35
P.: Hedging option portfolios in the presence of transaction costs
- Hoggard, Whalley, et al. - 1994
35
P.: The feedback effect of hedging in illiquid markets
- Schönbucher, Wilmott - 2000
30
A.: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
- Avellaneda, Parás - 1994
16
The early exercise boundary for the American put near : numerical approximation
- Stamicar, ˇSevčovič, et al. - 1999
15
illiquidity as a source of model risk in dynamic hedging in model risk
- Frey - 2000
14
P.: Risk management for derivatives in illiquid markets: a simulation study
- Frey, Patie - 2002
11
A.: High order compact finite difference schemes for a nonlinear Black-Scholes equation
- Düring, Fournié, et al. - 2003
8
M.: On the numerical solution of nonlinear Black-Scholes equations
- Ankudinova, Ehrhardt - 2008
7
No mystery behind the smile
- Kratka - 1998
5
E.: Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Company, Navarro, et al. - 2008
5
D.: On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- Jandačka, ˇSevčovič - 2005
4
Analysis of the free boundary for the pricing of an American call option
- ˇSevčovič - 2001
3
M.: Fixed domain transformations and highly accurate compact schemes for nonlinear Black-Scholes equations for American options
- Ankudinova, Ehrhardt - 2008
2
An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
- ˇSevčovič - 2007
1
Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black–Scholes equations
- ˇSevčovič - 2008