Robust numerical algorithm to the European option with illiquid markets (Q2284751)
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scientific article; zbMATH DE number 7151580
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|---|---|---|---|
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| English | Robust numerical algorithm to the European option with illiquid markets |
scientific article; zbMATH DE number 7151580 |
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Robust numerical algorithm to the European option with illiquid markets (English)
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15 January 2020
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European call option
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illiquid markets
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Newton's method
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Kantorovich theorem
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positivity
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0.8598437905311584
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0.8193273544311523
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0.802984356880188
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0.799495279788971
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0.7950147390365601
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