Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

DOI10.1016/j.camwa.2010.08.009zbMath1219.91148OpenAlexW1985014572WikidataQ112880429 ScholiaQ112880429MaRDI QIDQ636593

M. C. Casabán, Rafael Company, José-Ramón Pintos, Lucas Jodar

Publication date: 28 August 2011

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

Full work available at URL: http://hdl.handle.net/10251/78691

zbMATH Keywords

option pricingnonlinear partial differential equationnumerical analysis

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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Analysis of the nonlinear option pricing model under variable transaction costs ⋮ On splitting-based numerical methods for nonlinear models of European options ⋮ Removing the correlation term in option pricing Heston model: numerical analysis and computing

Cites Work

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• Option pricing with an illiquid underlying asset market
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Matched asymptotic expansions in financial engineering

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