Pricing American Options by the Black-Scholes Equation with a Nonlinear Volatility Function

Doutoramento em Matemática Aplicada à Economia e à Gestão

Bibliographic Details
Main Author: Kord, Yaser Faghannataj (author)
Format: doctoralThesis
Language:eng
Published: 2022
Subjects:
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
Online Access:http://hdl.handle.net/10400.5/23799
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/23799

Internet

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

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