collaborators

1 paper

q-fin.PR2015

Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

Karol Duris, Shih-Hau Tan, Choi-Hong Lai +1

Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described…