A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (Q1761652): Difference between revisions

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-Rafael Company
@@ Property / author: Rafael Company / rank @@
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@@ Property / author @@
-Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
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@@ Property / author @@
+Rafael Company
@@ Property / author: Rafael Company / rank @@
+Normal rank
@@ Property / author @@
+Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
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+On the numerical solution of nonlinear Black-Scholes equations
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+Implicit-explicit numerical schemes for jump-diffusion processes
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+A numerical method for European option pricing with transaction costs nonlinear equation
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+Optimal consumption choices for a `large' investor
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+Hedging options for a large investor and forward-backward SDE's
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+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+Q4550916
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+Q4794126
@@ Property / cites work: Q4794126 / rank @@
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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@@ Property / cites work @@
+Option pricing with an illiquid underlying asset market
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@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
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+Numerical convergence properties of option pricing PDEs with uncertain volatility
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+Q4528992
@@ Property / cites work: Q4528992 / rank @@
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@@ Property / cites work @@
+An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+Q3696432
@@ Property / cites work: Q3696432 / rank @@
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+Publication:1761652