Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method

DOI10.1007/978-3-030-41032-2_67zbMath1444.91219OpenAlexW3005815571MaRDI QIDQ3297745

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 20 July 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-41032-2_67

zbMATH Keywords

fitted finite volume methodEuropean options pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (1)

Penalty method for indifference pricing of American option in a liquidity switching market

Cites Work

• Unnamed Item
• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• Well posedness and comparison principle for option pricing with switching liquidity
• Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
• A positive splitting method for mixed hyperbolic-parabolic systems
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks

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