Option Pricing in Illiquid Markets with Jumps

DOI10.1080/1350486X.2019.1585267zbMath1411.91619arXiv1901.06467OpenAlexW2914713494MaRDI QIDQ5742994

Daniel Ševčovič, José M. T. S. Cruz

Publication date: 8 May 2019

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.06467

zbMATH Keywords

finite difference approximationLévy measurenonlinear partial integro-differential equation

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

On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models, The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs, Pricing vulnerable options with jump risk and liquidity risk

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