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Identifier to cite or link to this item: https://hdl.handle.net/10086/14599

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Title
On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs
Creator
Creator Name
Imai, Hitoshi Imai, Hitoshi
今井, 仁司 今井, 仁司
Affiliation
Affiliation Name
Tokushima University
Creator Name
Ishimura, Naoyuki Ishimura, Naoyuki
石村, 直之 石村, 直之
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Mottate, Ikumi Mottate, Ikumi
持舘, 育美 持舘, 育美
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Nakamura, Masaaki Nakamura, Masaaki
Affiliation
Affiliation Name
Nihon University
Rights
The original publication is available at www.springerlink.com.
Key Word
Transaction costs
Hoggard–Whalley–Wilmott model
Nonlinear partial differential equations
Abstract
The Hoggard-Whalley-Wilmott equation is introduced to model portfolios of European type options incorporating transaction costs. The model gives rise to a nonlinear parabolic partial differential equation (PDE), whose nonlinearity reflects the presence of transaction costs. We show analytically the existence of solutions which are not necessarily convex nor concave. Numerical treatments are also given, which are devised to effectively handle an infinite domain and unbounded solutions.
Publisher
Springer Netherlands
Issued Date
2006-12
Language
English(eng)
Resource Type
journal article
Version Type
AM
Is Version OfRelation -
Related Identifier
DOI
  10.1007/s10690-007-9047-8
ISSN
1387-2834
NCID
AA11224457
Source Title
Asia Pacific Financial Markets
Volume Number
13
Issue Number
4
Page Start
315
Page End
326
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/14599