Pages that link to "Item:Q1644320"
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The following pages link to Well posedness and comparison principle for option pricing with switching liquidity (Q1644320):
Displaying 8 items.
- Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations (Q2410980) (← links)
- Numerical solution of a stochastic control problem of option pricing for a liquidity switching market (Q2945108) (← links)
- Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent (Q2955293) (← links)
- Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method (Q3297745) (← links)
- Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (Q3304790) (← links)
- Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks (Q4626504) (← links)
- Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods (Q6549868) (← links)
