4 citations · 10 across the 11 of their papers we have counts for
3 papers · 1 filter
Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method
Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek +1
In this paper, the TF system of two-coupled Black-Scholes equations for pricing the convertible bonds is solved numerically by using the P1 and P2 finite elements with the inequali…
Finite element solutions of the nonlinear RAPM Black-Scholes model
Dongming Wei, Yogi Ahmad Erlangga, Andrey Pak +1
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatia…
A Finite Element Approach to the Numerical Solutions of Leland's Mode
Dongming Wei, Yogi Ahmad Erlangga, Gulzat Zhumakhanova
In this paper, finite element method is applied to Leland's model for numerical simulation of option pricing with transaction costs. Spatial finite element models based on P1 and/o…