Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods

DOI10.1016/J.CAMWA.2024.04.002MaRDI QIDQ6549868

Ankit Singh, Manoj K. Rajpoot, Vikas Maurya

Publication date: 4 June 2024

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

comparison principle time integration parabolic-ordinary system positivity preserving stability and convergence analysis liquidity shocks

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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