Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
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Publication:636593
DOI10.1016/j.camwa.2010.08.009zbMath1219.91148WikidataQ112880429 ScholiaQ112880429MaRDI QIDQ636593
M. C. Casabán, Rafael Company, José-Ramón Pintos, Lucas Jodar
Publication date: 28 August 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10251/78691
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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