Numerical analysis and simulation of option pricing problems modeling illiquid markets
From MaRDI portal
Recommendations
- Numerical analysis and computing for option pricing models in illiquid markets
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- On the numerical solution of nonlinear option pricing equation in illiquid markets
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- Option pricing in illiquid markets with jumps
Cites work
- scientific article; zbMATH DE number 5656751 (Why is no real title available?)
- scientific article; zbMATH DE number 3921884 (Why is no real title available?)
- scientific article; zbMATH DE number 1795849 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- Continuous Auctions and Insider Trading
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
- Far field boundary conditions for Black-Scholes equations
- Forward-backward stochastic differential equations and their applications
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Hedging options for a large investor and forward-backward SDE's
- Market volatility and feedback effects from dynamic hedging
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- On the numerical solution of nonlinear Black-Scholes equations
- Optimal consumption choices for a `large' investor
- Option pricing with an illiquid underlying asset market
- Perfect option hedging for a large trader
- Pricing and hedging derivative securities in markets with uncertain volatilities
- The Feedback Effect of Hedging in Illiquid Markets
- Uncertain volatility and the risk-free synthesis of derivatives
Cited in
(22)- Numerical solution of a stochastic control problem of option pricing for a liquidity switching market
- On option pricing in illiquid markets with jumps
- Option pricing in illiquid markets with jumps
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Numerical simulations for the pricing of options in jump diffusion markets
- Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
- A nonlinear option pricing model through the Adomian decomposition method
- On splitting-based numerical methods for nonlinear models of European options
- Numerical analysis and computing for option pricing models in illiquid markets
- A second-order positivity preserving numerical method for gamma equation
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Bayesian statistical inference for European options with stock liquidity
- On some option pricing models on illiquid markets
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- scientific article; zbMATH DE number 1795849 (Why is no real title available?)
- A new efficient numerical method for solving American option under regime switching model
- On the numerical solution of nonlinear option pricing equation in illiquid markets
- Robust numerical algorithm to the European option with illiquid markets
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
This page was built for publication: Numerical analysis and simulation of option pricing problems modeling illiquid markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q988271)
