Numerical analysis and computing for option pricing models in illiquid markets
type: Item
instance of: scholarly article
title: Numerical analysis and computing for option pricing models in illiquid markets
zbMATH Open document ID: 1205.91168
author: José-Ramón Pintos
author: R. Company
author: L. Jódar
published in: Mathematical and Computer Modelling
publication date: 2011-02-13T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 5851067
zbMATH Keywords: finite difference
zbMATH Keywords: numerical analysis
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: illiquid markets
MaRDI profile type: Publication
full work available at URL: j.mcm.2010.02.037
OpenAlex ID: W2047768929
cites work: Continuous Auctions and Insider Trading
cites work: Q4550916
cites work: Option pricing with an illiquid underlying asset market
cites work: A numerical method for European option pricing with transaction costs nonlinear equation
cites work: Far field boundary conditions for Black-Scholes equations
cites work: Q5689624
cites work: Constructing oscillation preventing scheme for advection equation by rational function
cites work: Q3696432
DOI: 10.1016/J.MCM.2010.02.037
description: scientific article; zbMATH DE number 5851067