Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (Q3304790)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7227085
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks |
scientific article; zbMATH DE number 7227085 |
Statements
Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (English)
0 references
3 August 2020
0 references
comparison principle
0 references
European option
0 references
liquidity shock
0 references
indifference price
0 references
implicit difference scheme
0 references
0 references
0 references
0 references
0 references
0.885619580745697
0 references
0.8809677958488464
0 references
0.8557188510894775
0 references
0.8168035745620728
0 references
0.7931178212165833
0 references
