Essays about: "Barles-Soner volatility"

Found 1 essay containing the words Barles-Soner volatility.

  1. 1. A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ekaterina Dremkova; [2009]
    Keywords : Mathematics; nonlinear Black-Scholes equation; Barles-Soner volatility; compact methods;

    Abstract : In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy. . READ MORE