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

Tetsuya Noguchi and Berc Rustem

No 379, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Computational 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 and nep-cmp
Date: Written 2002-07-01
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