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

@@ 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
+Normal rank
@@ Property / cites work @@
+Optimal consumption choices for a `large' investor
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
+Normal rank
@@ Property / cites work @@
+Q3655790
@@ Property / cites work: Q3655790 / rank @@
+Normal rank
@@ Property / cites work @@
+Perfect option hedging for a large trader
@@ Property / cites work: Perfect option hedging for a large trader / rank @@
+Normal rank
@@ Property / cites work @@
+Market Volatility and Feedback Effects from Dynamic Hedging
+Normal rank
@@ Property / cites work @@
+Q4550916
@@ Property / cites work: Q4550916 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with an illiquid underlying asset market
+Normal rank
@@ Property / cites work @@
+The Feedback Effect of Hedging in Illiquid Markets
+Normal rank
@@ Property / cites work @@
+General Black-Scholes models accounting for increased market volatility from hedging strategies
+Normal rank
@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
+Normal rank
@@ Property / cites work @@
+Uncertain volatility and the risk-free synthesis of derivatives
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Numerical convergence properties of option pricing PDEs with uncertain volatility
+Normal rank
@@ Property / cites work @@
+Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3696432
@@ Property / cites work: Q3696432 / rank @@
+Normal rank