On a numerical approximation scheme for construction of the  . . .

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On a numerical approximation scheme for construction of the . . .

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by Daniel Sevcovic

Citations

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