Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes

DOI10.1002/num.21804zbMath1279.91184OpenAlexW1976797074WikidataQ57572539 ScholiaQ57572539MaRDI QIDQ2874174

Gilberto González-Parra, Abraham J. Arenasm, Benito M. Chen-Charpentier

Publication date: 29 January 2014

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.21804

zbMATH Keywords

Black-Scholes modelnumerical solutionnonstandard finite difference methodsno-arbitrage liquidity model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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