Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks

DOI10.1007/978-3-319-26520-9_40zbMath1447.91192OpenAlexW2288107493MaRDI QIDQ3304790

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1007/978-3-319-26520-9_40

zbMATH Keywords

comparison principleEuropean optionindifference priceimplicit difference schemeliquidity shock

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)

Related Items

Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ Numerical method for optimal portfolio in an exponential utility regime-switching model

Cites Work

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