A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

DOI10.1016/j.matcom.2010.04.026zbMath1262.91146OpenAlexW2004796151MaRDI QIDQ1761652

José-Ramón Pintos, Lucas Jodar, Rafael Company

Publication date: 15 November 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10251/50301

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (13)

A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model ⋮ Unnamed Item ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives ⋮ Unnamed Item ⋮ Solving American option pricing models by the front fixing method: numerical analysis and computing ⋮ Newton-Based Solvers for Nonlinear PDEs in Finance ⋮ Constructing positive reliable numerical solution for American call options: a new front-fixing approach ⋮ On the numerical solution of nonlinear option pricing equation in illiquid markets ⋮ On splitting-based numerical methods for nonlinear models of European options ⋮ Robust numerical algorithm to the European option with illiquid markets ⋮ High accurate modified WENO method for the solution of Black-Scholes equation ⋮ Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes

Cites Work

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• Continuous Auctions and Insider Trading
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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