Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model (Q5175480)
From MaRDI portal
scientific article; zbMATH DE number 6407098
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model |
scientific article; zbMATH DE number 6407098 |
Statements
Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model (English)
0 references
23 February 2015
0 references
spread option pricing
0 references
price impact
0 references
illiquid markets
0 references
Peaceman-Rachford scheme
0 references
0 references
0 references
0 references
0 references
