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Dastranj, Elham, Sahebi Fard, Hossein. (1401). Exact solutions and numerical simulation for Bakstein-Howison model. سامانه مدیریت نشریات علمی, 10(2), 461-474. doi: 10.22034/cmde.2021.42640.1834
Elham Dastranj; Hossein Sahebi Fard. "Exact solutions and numerical simulation for Bakstein-Howison model". سامانه مدیریت نشریات علمی, 10, 2, 1401, 461-474. doi: 10.22034/cmde.2021.42640.1834
Dastranj, Elham, Sahebi Fard, Hossein. (1401). 'Exact solutions and numerical simulation for Bakstein-Howison model', سامانه مدیریت نشریات علمی, 10(2), pp. 461-474. doi: 10.22034/cmde.2021.42640.1834
Dastranj, Elham, Sahebi Fard, Hossein. Exact solutions and numerical simulation for Bakstein-Howison model. سامانه مدیریت نشریات علمی, 1401; 10(2): 461-474. doi: 10.22034/cmde.2021.42640.1834

Exact solutions and numerical simulation for Bakstein-Howison model

Computational Methods for Differential Equations
مقاله 13، دوره 10، شماره 2، تیر 2022، صفحه 461-474    اصل مقاله (691.6 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2021.42640.1834
نویسندگان
Elham Dastranj* 1؛ Hossein Sahebi Fard2
1Faculty of Mathematical Sciences, Shahrood university of technology, Shahrood, Semnan, Iran.
2Faculty of Mathematical Sciences, Shahrood university of technology, Shahrood, Semnan, Iran
چکیده
In this paper, European options with transaction cost under some Black-Scholes markets are priced. In fact, stochastic analysis and Lie group analysis are applied to find exact solutions for European options pricing under considered markets. In the sequel, using the finite difference method, numerical solutions are presented as well. Finally, European options pricing are presented in four maturity times under some Black-Scholes models equipped with the gold asset as underlying asset. For this, the daily gold world price has been followed from Jan 1, 2016 to Jan 1, 2019 and the results of the profit and loss of options under the considered models indicate that call options prices prevent arbitrage opportunity but put options create it. 
کلیدواژه‌ها
Black-Scholes models؛ Transaction cost؛ Lie symmetries؛ Finite difference method
مراجع
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