Publication
Pricing american call option by the Black-Scholes equation with a nonlinear volatility function
| dc.contributor.author | Grossinho, Maria do Rosário | |
| dc.contributor.author | Kord, Yaser Faghan | |
| dc.contributor.author | Ševčovič, Daniel | |
| dc.date.accessioned | 2018-09-27T15:00:19Z | |
| dc.date.available | 2018-09-27T15:00:19Z | |
| dc.date.issued | 2017-12 | |
| dc.description.abstract | In this paper we analyze a nonlinear Black-Scholes equation for pricing American style call option in which the volatility may depend on the underlying asset price and the Gamma of the option. We study the generalized Black-Scholes equation by means of transformation of the free boundary problem (variational inequalities) into the so-called Gamma equation for the new variable H = S@2SV . Moreover, we reformulate our new problem with PSOR method and construct an effective numerical scheme for discretization of the Gamma equation. Finally,we solve numerically our nonlinear complementarity problem applying PSOR method. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Grossinho, Maria do Rosário, Yaser Faghan Kord e Daniel Ševčovič (2017). "Pricing american call option by the Black-Scholes equation with a nonlinear volatility function". Instituto Superior de Economia e Gestão – REM Working paper nº 018 - 2017 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/15991 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation.ispartofseries | REM Working paper;nº 018 - 2017 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_018_2017.pdf | pt_PT |
| dc.subject | American option pricing | pt_PT |
| dc.subject | nonlinear Black-Scholes equation | pt_PT |
| dc.subject | variable transaction costs | pt_PT |
| dc.subject | PSOR method | pt_PT |
| dc.title | Pricing american call option by the Black-Scholes equation with a nonlinear volatility function | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |