Numerical analysis and computing for option pricing models in illiquid markets

DOI10.1016/j.mcm.2010.02.037zbMath1205.91168OpenAlexW2047768929MaRDI QIDQ622980

José-Ramón Pintos, Lucas Jodar, Rafael Company

Publication date: 13 February 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.02.037

zbMATH Keywords

finite differenceBlack-Scholes equationnumerical analysisilliquid 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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

Option pricing with illiquidity during a high volatile period ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Removing the correlation term in option pricing Heston model: numerical analysis and computing ⋮ A nonlinear option pricing model through the Adomian decomposition method

Cites Work

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• Option pricing with an illiquid underlying asset market
• A numerical method for European option pricing with transaction costs nonlinear equation
• Constructing oscillation preventing scheme for advection equation by rational function
• Far Field Boundary Conditions for Black--Scholes Equations
• Continuous Auctions and Insider Trading

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