An algorithm for the quasivariational inequality arising in option pricing with transaction costs I

Tetsuya Noguchi and Berc Rustem

No 378, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: omputational algorithm; option pricing; transaction costs; quasivariational inequality; dynamic optimization; stochastic control; numerical analysis (search for similar items in EconPapers)
JEL-codes: C61 C63 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-rmg
Date: Written 2002-07-01

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