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- W2918150957 abstract "his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatial finite element models based on P1 and/or P2 elements are formulated using some group finite elements and numerical quadrature to handle the nonlinear term, in combination with a Crank-Nicolson-type temporal scheme. The temporal scheme is implemented using the Rannacher approach. Spatial-temporal mesh-size ratios are observed for controlling the stability of our method. Our results compare favorably with the finite difference results in the literature for the model." @default.
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- W2918150957 date "2016-05-09" @default.
- W2918150957 modified "2023-09-27" @default.
- W2918150957 title "Finite element solutions of the nonlinear RAPM Black-Scholes model" @default.
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