مشخصات پژوهش

عنوان	FINITE DIFFERENCE SCHEMES FOR A NONLINEAR BLACK-SCHOLES MODEL WITH TRANSACTION COST AND VOLATILITY RISK
نوع پژوهش	مقاله چاپ‌شده
کلیدواژه‌ها	Nonlinear Black-Scholes model, Transaction costs, Feedback and illiq- uidity, Finite di erence schemes.
چکیده	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 nite di erence methods for the solution of this model with respect to precision and order of convergence within a computationally feasible domain allowing at most 200 space steps and 10000 time steps. We conclude that standard explicit Euler comes out as the preferred explicit method and standard Crank Nicolson with Rannacher time stepping as the preferred implicit method.
پژوهشگران	ینس هوگر (نفر دوم)، سیما مشایخی (نفر اول)