High Order Compact Schemes for Option Pricing with Liquidity Shocks

DOI10.1007/978-3-319-61282-9_18zbMath1420.91513OpenAlexW2756151197MaRDI QIDQ4626511

Walter Mudzimbabwe, Miglena N. Koleva, Lubin G. Vulkov

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_18

zbMATH Keywords

European optionnumerical pricingliquidity shockshigh order compact schemes

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)

Cites Work

• An energy-conserving second order numerical scheme for nonlinear hyperbolic equation with an exponential nonlinear term
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• Numerical pricing of options using high-order compact finite difference schemes
• The operator compact implicit method for parabolic equations
• A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• Smoothing of initial data and rates of convergence for parabolic difference equations
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks

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