المؤلفون: Kord, Yaser Faghannataj

المساهمون: Grossinho, Maria do Rosário, Sevcovic, Daniel, Repositório da Universidade de Lisboa

مصطلحات موضوعية: American option pricing, nonlinear Black-Scholes equation, variable transaction costs, PSOR method, Opção americana, equação de Black-Scholes, não-linear, custos de transação, método PSOR

وصف الملف: application/pdf

Relation: Kord, Yaser Faghannataj (2021). "Pricing American Options by the Black-Scholes Equation with a Nonlinear Volatility Function". Tese de Doutoramento, Universidade de Lisboa. Instituto Superior de Economia e Gestão.

الاتاحة: http://hdl.handle.net/10400.5/23799

المؤلفون: Ankudinova, Julia, Ehrhardt, Matthias

مصطلحات موضوعية: 510 Mathematik, nonlinear Black–Scholes equation, American and European options, transaction costs, finite difference schemes

وصف الملف: application/pdf

Relation: https://depositonce.tu-berlin.de/handle/11303/16879; http://dx.doi.org/10.14279/depositonce-15657

الاتاحة: https://depositonce.tu-berlin.de/handle/11303/16879
https://doi.org/10.14279/depositonce-15657

المؤلفون: Grossinho, Maria do Rosário, Faghan, Yaser, Ševčovič, Daniel

المساهمون: Repositório da Universidade de Lisboa

مصطلحات موضوعية: Option Pricing, Nonlinear Black-Scholes Equation, Transaction Costs, Early Exercise Boundary

وصف الملف: application/pdf

Relation: Grossinho, Maria do Rosário, Yaser Faghan and Daniel Ševčovič. (2017). "Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations." In Novel Methods in Computational Finance. Matthias Ehrhardt, Michael Gunther and E. Jan W. ter Maten, (Eds.) Chapter 8 : pp. 129-142. (Search PDF in 2023).; 978-3-319-61282-9 eBook

الاتاحة: http://hdl.handle.net/10400.5/27748

المؤلفون: Grossinho, Maria do Rosário, Faghan, Yaser Kord, Ševčovič, Daniel

مصطلحات موضوعية: Option pricing, Nonlinear Black–Scholes Equation, Perpetual American Put Option, Early Exercise Boundary

Relation: Grossinho, Maria do Rosário, Yaser Kord Faghan and Daniel Ševčovič. (2017). "Pricing perpetual put options by the black–scholes equation with a nonlinear volatility function" . Asia-Pacific Financial Markets. Vol. 24: pp. 291-308. (Search PDF in 2023).; http://hdl.handle.net/10400.5/24431

الاتاحة: http://hdl.handle.net/10400.5/24431

المؤلفون: Vladimir E. Fedorov, Mikhail M. Dyshaev

المصدر: Ural Mathematical Journal, Vol 2, Iss 2 (2016)

مصطلحات موضوعية: Nonlinear partial differential equation, Group analysis, Group of equivalency transformations, Group classification, Nonlinear Black–Scholes equation, Option pricing, Dynamic hedging, Feedback effects of hedging, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://umjuran.ru/index.php/umj/article/view/47; https://doaj.org/toc/2414-3952

URL الوصول: https://doaj.org/article/295cea7b80f84724900fde32bbe742be

المؤلفون: Gülen, Seda, Sarı, M.

مصطلحات موضوعية: Fréchet derivative, hedge cost, illiquid markets, linearization, Newton iteration, nonlinear Black–Scholes equation, Algebra, Commerce, Financial markets, Finite difference method, Iterative methods, Nonlinear equations, Numerical methods, Black-Scholes Equations, Financial industry, Frechet derivative, Illiquid market, Linearisation, Newton's iteration, Nonlinear black–schole equation, Option pricing models, Transaction cost, Costs

Relation: Mathematical Methods in the Applied Sciences; Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı; https://doi.org/10.1002/mma.7821; https://hdl.handle.net/20.500.11776/4735; 45; 899; 913; WOS:000702732900001; 2-s2.0-85117078690

الاتاحة: https://hdl.handle.net/20.500.11776/4735
https://doi.org/10.1002/mma.7821

المؤلفون: Grossinho, Maria do Rosário, Morais, E.

مصطلحات موضوعية: Nonlinear Black-Scholes Equation, Transaction Costs, Stationary Convex Solutions, Upper and Lower Solution, Existence and Localization

Relation: Grossinho, Maria do Rosário and E. Morais. (2009). "A note on a stationary problem for a Black-Scholes equation with transaction costs”. International Journal of Pure and Applied Mathematics, Vol. 51, No.4: pp. 557-565; http://hdl.handle.net/10400.5/27639

الاتاحة: http://hdl.handle.net/10400.5/27639

المؤلفون: Grossinho, Maria do Rosário, Simões, Onofre Alves, Fabião, Fátima

مصطلحات موضوعية: Nonlinear Black-Scholes Equation, Condition on the Potential, Positive Stationary Solutions, Upper and Lower Solutions

Relation: Fabião, Fátima, Maria do Rosário Grossinho, and Onofre Alves Simões (2009). . "Solvability of a stationary nonlinear Black‐Scholes equation under conditions on the potential" .AIP Conference Proceedings. Vol. 1124. No. 1. American Institute of Physics. (Search PDF in 2022).; http://hdl.handle.net/10400.5/24436

الاتاحة: http://hdl.handle.net/10400.5/24436

المؤلفون: Rüdiger Frey

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.math.ethz.ch/~frey/risk-book.ps.

مصطلحات موضوعية: nonlinear Black-Scholes equation

وصف الملف: application/postscript

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.29.6703; http://www.math.ethz.ch/~frey/risk-book.ps

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.29.6703
http://www.math.ethz.ch/~frey/risk-book.ps

المؤلفون: Ehrhardt, Matthias

مصطلحات موضوعية: article, ddc:510, 91B26, nonlinear Black-Scholes equation -- computational finance -- free boundary problem -- European options -- American options

Relation: https://doi.org/10.20347/WIAS.PREPRINT.1332; https://archive.wias-berlin.de/receive/wias_mods_00002753; https://archive.wias-berlin.de/servlets/MCRFileNodeServlet/wias_derivate_00002664/wias_preprints_1332.pdf; http://www.wias-berlin.de/publications/wias-publ/run.jsp?template=abstract&type=Preprint&year=2008&number=1332

الاتاحة: https://doi.org/10.20347/WIAS.PREPRINT.1332
https://archive.wias-berlin.de/receive/wias_mods_00002753
https://archive.wias-berlin.de/servlets/MCRFileNodeServlet/wias_derivate_00002664/wias_preprints_1332.pdf
http://www.wias-berlin.de/publications/wias-publ/run.jsp?template=abstract&type=Preprint&year=2008&number=1332

المؤلفون: Mikhail M. Dyshaev, Vladimir E. Fedorov

المصدر: Ural Mathematical Journal, Vol 2, Iss 2 (2016)

مصطلحات موضوعية: OPTION PRICING, Mathematical optimization, NONLINEAR PARTIAL DIFFERENTIAL EQUATION, GROUP ANALYSIS, Group (mathematics), General Mathematics, lcsh:Mathematics, NONLINEAR BLACK–SCHOLES EQUATION, lcsh:QA1-939, Group analysis, Valuation of options, Replicating portfolio, Nonlinear model, Homogeneous space, Applied mathematics, FEEDBACK EFFECTS OF HEDGING, GROUP OF EQUIVALENCY TRANSFORMATIONS, Finite difference methods for option pricing, DYNAMIC HEDGING, Equivalence (measure theory), Nonlinear partial differential equation, Group analysis, Group of equivalency transformations, Group classification, Nonlinear Black–Scholes equation, Option pricing, Dynamic hedging, Feedback effects of hedging, Mathematics, GROUP CLASSIFICATION

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e42785a1c341e343cab6ed474696028
https://umjuran.ru/index.php/umj/article/view/47

المؤلفون: Grossinho, Maria do Rosário, Kord, Yaser Faghan, Ševčovič, Daniel

مصطلحات موضوعية: American option pricing, nonlinear Black-Scholes equation, variable transaction costs, PSOR method

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______1503::956c2dbc1fc26a823aa0f7cc03e7af04
https://hdl.handle.net/10400.5/15991

المؤلفون: Maria do Rosário Grossinho, Yaser Faghan, Daniel Sevcovic

المصدر: Novel Methods in Computational Finance ISBN: 9783319612812

مصطلحات موضوعية: 050208 finance, Implicit function, 05 social sciences, Early Exercise Boundary, Black–Scholes model, 01 natural sciences, Transaction Costs, Nonlinear Black-Scholes Equation, 010101 applied mathematics, Nonlinear system, Valuation of options, Ordinary differential equation, 0502 economics and business, Economics, Portfolio, 0101 mathematics, Volatility (finance), Option Pricing, Mathematical economics, Second derivative

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28f69b59909fa17891f419046a6a28be
https://doi.org/10.1007/978-3-319-61282-9_8

المؤلفون: Yaser Faghan, Maria do Rosário Grossinho, Daniel Sevcovic

مصطلحات موضوعية: 050208 finance, Implicit function, Option pricing, 05 social sciences, Nonlinear Black–Scholes Equation, 010103 numerical & computational mathematics, Black–Scholes model, Early Exercise Boundary, Implied volatility, 01 natural sciences, Valuation of options, 0502 economics and business, Economics, Free boundary problem, Uniqueness, 0101 mathematics, Volatility (finance), Mathematical economics, Moneyness, Finance, Perpetual American Put Option

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f9f1fea201f75679a0a1c78637a13496
https://hdl.handle.net/10400.5/24431

المؤلفون: Dremkova, E., Ehrhardt, M.

المصدر: International Journal of Computer Mathematics. 88(13):2782-2797

مصطلحات موضوعية: nonlinear Black-Scholes equation, compact finite difference scheme, American options, high-order methods, fixed domain transformation, transaction costs

وصف الملف: print

URL الوصول: https://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-18882

المؤلفون: Matthias Ehrhardt, Julia Ankudinova

المصدر: Computers & Mathematics with Applications. 56:799-812

مصطلحات موضوعية: Finite difference schemes, Transaction costs, Black–Scholes model, Implied volatility, American and European options, Computational Mathematics, Nonlinear system, Computational Theory and Mathematics, Modelling and Simulation, Modeling and Simulation, Nonlinear Black–Scholes equation, Volatility smile, Call option, Asian option, Volatility (finance), Moneyness, Mathematical economics, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8c651b0dc496bfd816f45fc5eabf4cde
https://doi.org/10.1016/j.camwa.2008.02.005

المؤلفون: Uhliarik, Marek

مصطلحات موضوعية: finacial Mathematics, nonlinear Black-Scholes equation, volatility models, splitting methods, MATHEMATICS, MATEMATIK, Numerical analysis, Numerisk analys

وصف الملف: application/pdf

الاتاحة: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6111

المؤلفون: Dremkova, Ekaterina

مصطلحات موضوعية: Mathematics, nonlinear Black-Scholes equation, Barles-Soner volatility, compact methods, Numerical analysis, Numerisk analys, Applied mathematics, Tillämpad matematik

وصف الملف: application/pdf

الاتاحة: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3198

المؤلفون: M. R. Grossinho, E. Morais

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://ijpam.eu/contents/2009-51-4/10/10.pdf.

مصطلحات موضوعية: Key Words, nonlinear Black-Scholes equation, transaction costs, stationary convex solutions, upper and lower solutions, existence and localization Received

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.473.4613; http://ijpam.eu/contents/2009-51-4/10/10.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.473.4613
http://ijpam.eu/contents/2009-51-4/10/10.pdf

المؤلفون: Company, R., Jódar, L., Pintos, J.-R., Roselló, M.-D.

المصدر: Computers & Mathematics with Applications. (2):651-662

مصطلحات موضوعية: Transaction cost, Mathematical optimization, Transaction costs, Semidiscretization, Numerical analysis, Nonlinear differential equations, Computational Mathematics, Nonlinear system, Computational Theory and Mathematics, Valuation of options, Modelling and Simulation, Modeling and Simulation, Nonlinear Black–Scholes equation, Call option, Finite difference methods for option pricing, Volatility (finance), Mathematical economics, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd3ef9374c2bd7d771c55f3fb505cc6b