A Fréchet derivative‐based novel approach to option pricing models in illiquid markets

DOI10.1002/mma.7821OpenAlexW3204848718MaRDI QIDQ6188915

Seda Gülen, Murat Sari

Publication date: 12 January 2024

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.7821

zbMATH Keywords

linearizationNewton iterationFréchet derivativenonlinear Black-Scholes equationilliquid marketshedge cost

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) Iterative numerical methods for linear systems (65F10)

Cites Work

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