Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
173 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

On a pricing problem for a multi-asset option with general transaction costs (1704.02036v2)

Published 6 Apr 2017 in q-fin.CP and math.AP

Abstract: We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on the one hand, the problem is multi-dimensional since it involves different underlying assets; on the other hand, the transaction costs are not assumed to be constant (i.e. a fixed proportion of the traded quantity). In this work, we generalize Leland's condition and prove the existence of a viscosity solution for the corresponding fully nonlinear initial value problem using Perron method. Moreover, we develop a numerical ADI scheme to find an approximated solution. We apply this method on a specific multi-asset derivative and we obtain the option price under different pricing scenarios.

Summary

We haven't generated a summary for this paper yet.