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• W2608982637 abstract "In this paper we propose a combination of a penalty method and a finite volume scheme for a four-dimensional time-dependent Hamilton–Jacobi–Bellman (HJB) equation arising from pricing European options with proportional transaction costs and stochastic volatility. The HJB equation is first approximated by a nonlinear partial differential equation containing penalty terms. A finite volume method along with an upwind technique is then developed for the spatial discretization of the nonlinear penalty equation. We show that the coefficient matrix of the discretized system is an M-matrix. An iterative method is proposed for solving the nonlinear algebraic system and a convergence theory is established for the iterative method. Numerical experiments are performed using a non-trivial model pricing problem and the numerical results demonstrate the usefulness of the proposed method." @default.
• W2608982637 created "2017-05-05" @default.
• W2608982637 creator A5001969147 @default.
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• W2608982637 date "2017-06-01" @default.
• W2608982637 modified "2023-09-24" @default.
• W2608982637 title "Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme" @default.
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• W2608982637 doi "https://doi.org/10.1016/j.camwa.2017.03.024" @default.
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