no code implementations • 15 Mar 2021 • Dongming Wei, Yogi Ahmad Erlangga, Andrey Pak, Laila Zhexembay
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs.
no code implementations • 26 Oct 2020 • Dongming Wei, Yogi Ahmad Erlangga, Gulzat Zhumakhanova
Our results compare favorably with the finite difference results in the literature for the model.
