Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (Q3304790)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks |
scientific article |
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Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (English)
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3 August 2020
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comparison principle
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European option
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liquidity shock
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indifference price
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implicit difference scheme
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