Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks

DOI10.1007/978-3-319-61282-9_13MaRDI QIDQ4626504zbMATH OpenOpenAlexFDO

Authors W. Mudzimbabwe, Lubin G. Vulkov

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_13

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An IMEX scheme for reaction-diffusion equations: application for a PEM fuel cell model
• An implicit-explicit approach for atmospheric transport-chemistry problems
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• scientific article; zbMATH DE number 1565421 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
• Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
• Implicit-explicit numerical schemes for jump-diffusion processes
• Well posedness and comparison principle for option pricing with switching liquidity

Cited in

(7)

• Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
• Valuation of European options with liquidity shocks switching by fitted finite volume method
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• High order compact schemes for option pricing with liquidity shocks
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks

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