On the numerical solution of nonlinear option pricing equation in illiquid markets

DOI10.1016/j.camwa.2014.11.015zbMath1360.91151OpenAlexW2024994261MaRDI QIDQ524693

Jianqiang Guo, Wan-Sheng Wang

Publication date: 3 May 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.11.015

zbMATH Keywords

stabilityoption pricingpositivitysplitting methodsnonlinear Black-Scholes equationilliquid markets

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Unnamed Item ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ A high-order finite difference method for option valuation ⋮ High order method for Black-Scholes PDE ⋮ Fast numerical valuation of options with jump under Merton's model ⋮ Robust numerical algorithm to the European option with illiquid markets ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The modified local Crank-Nicolson method for one- and two-dimensional Burgers' equations
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• A local Crank-Nicolson method for solving the heat equation
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
• Far Field Boundary Conditions for Black--Scholes Equations
• Numerical Methods for Non-Linear Black–Scholes Equations
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• Explicit inverses of some tridiagonal matrices

This page was built for publication: On the numerical solution of nonlinear option pricing equation in illiquid markets