Faber-Schauder Wavelet Sparse Grid Approach for Option Pricing with Transactions Cost
Transforming the nonlinear Black-Scholes equation into the diffusion PDE by introducing the log transform of S and (T−t)→τ can provide the most stable platform within which option prices can be evaluated. The space jump that appeared in the transformation model is suitable to be solved by the sparse...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/168630 |