Numerical analysis and simulation of option pricing problems modeling illiquid markets (Q988271): Difference between revisions

@@ Property / author @@
-Rafael Company
@@ Property / author: Rafael Company / rank @@
-Normal rank
@@ Property / author @@
-Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
-Normal rank
@@ Property / author @@
-Enrique Ponsoda
@@ Property / author: Enrique Ponsoda / rank @@
-Normal rank
@@ Property / author @@
+Rafael Company
@@ Property / author: Rafael Company / rank @@
+Normal rank
@@ Property / author @@
+Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
+Normal rank
@@ Property / author @@
+Enrique Ponsoda
@@ Property / author: Enrique Ponsoda / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2010.02.014
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+W2038934079
@@ Property / OpenAlex ID: W2038934079 / rank @@
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@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
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+Optimal consumption choices for a `large' investor
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+Forward-backward stochastic differential equations and their applications
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
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+Q3655790
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+Perfect option hedging for a large trader
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+Market Volatility and Feedback Effects from Dynamic Hedging
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@@ Property / cites work @@
+Q4550916
@@ Property / cites work: Q4550916 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with an illiquid underlying asset market
+Normal rank
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+The Feedback Effect of Hedging in Illiquid Markets
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+Pricing and hedging derivative securities in markets with uncertain volatilities
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+Uncertain volatility and the risk-free synthesis of derivatives
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+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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+On the numerical solution of nonlinear Black-Scholes equations
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+Numerical convergence properties of option pricing PDEs with uncertain volatility
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+Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Q5689624
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+Q3696432
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