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NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK - MaRDI portal

NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK

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Publication:3394317

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DOI10.4134/CKMS.2008.23.1.141zbMath1168.91391OpenAlexW1969843447MaRDI QIDQ3394317

Seki Kim, Jonu Lee

Publication date: 28 August 2009

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/ckms.2008.23.1.141

zbMATH Keywords

finite element method option pricing stochastic model liquidity risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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