Numerical analysis and simulation of option pricing problems modeling illiquid markets

DOI10.1016/j.camwa.2010.02.014zbMath1193.91152OpenAlexW2038934079MaRDI QIDQ988271

C. Ballester, Enrique Ponsoda, Rafael Company, Lucas Jodar

Publication date: 26 August 2010

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.02.014

zbMATH Keywords

simulationoption pricingilliquid marketsnonlinear numerical 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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Bayesian statistical inference for European options with stock liquidity ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models ⋮ Unnamed Item ⋮ A second-order positivity preserving numerical method for gamma equation ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives ⋮ On the numerical solution of nonlinear option pricing equation in illiquid markets ⋮ Moving boundary transformation for American call options with transaction cost: finite difference methods and computing ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ On splitting-based numerical methods for nonlinear models of European options ⋮ A nonlinear option pricing model through the Adomian decomposition method

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