DocumentCode
554521
Title
Notice of Retraction
A new kind of effective of algorithms for solving the option pricing model with transaction costs
Author
Xiaozhong Yang ; Lifei Wu
Author_Institution
Sch. of Math. & Phys., North China Electr. Power Univ., Beijing, China
Volume
4
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1698
Lastpage
1701
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Black-Scholes equation is an important model in option pricing theory of financial, which is very practical in the application of numerical computation. In this paper, we construct a new kind of effective difference schemes (Explicit-Implicit scheme and Implicit-Explicit scheme) for solving option pricing model with transaction costs (Leland´s model), give convergence, stability of analysis and error estimates of the schemes. The analysis demonstrates the schemes are 2-order and unconditional convergence. Finally, the numerical example shows the effectiveness of the schemes.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Black-Scholes equation is an important model in option pricing theory of financial, which is very practical in the application of numerical computation. In this paper, we construct a new kind of effective difference schemes (Explicit-Implicit scheme and Implicit-Explicit scheme) for solving option pricing model with transaction costs (Leland´s model), give convergence, stability of analysis and error estimates of the schemes. The analysis demonstrates the schemes are 2-order and unconditional convergence. Finally, the numerical example shows the effectiveness of the schemes.
Keywords
finance; pricing; stock markets; Black-Scholes equation; effective algorithms; effective difference schemes; explicit-implicit scheme; financial option pricing theory; implicit-explicit scheme; numerical computation; option pricing model; transaction costs; Convergence; Equations; Mathematical model; Numerical models; Numerical stability; Pricing; Stability analysis; Explicit-Implicit scheme; Implicit-Explicit scheme; Leland´s model; computing stablity; convergence; error estimate;
fLanguage
English
Publisher
ieee
Conference_Titel
Electronic and Mechanical Engineering and Information Technology (EMEIT), 2011 International Conference on
Conference_Location
Harbin, Heilongjiang
Print_ISBN
978-1-61284-087-1
Type
conf
DOI
10.1109/EMEIT.2011.6023428
Filename
6023428
Link To Document