Well posedness and comparison principle for option pricing with switching liquidity

DOI10.1016/j.nonrwa.2018.03.006zbMath1394.35514arXiv1502.07622OpenAlexW3125055244WikidataQ130064835 ScholiaQ130064835MaRDI QIDQ1644320

Lubin G. Vulkov, Tihomir B. Gyulov

Publication date: 21 June 2018

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07622

zbMATH Keywords

comparison principleoption pricingwell-posednessintegro-differential equationBuyer's indifference priceswitching liquidity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (4)

Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks ⋮ 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 ⋮ Penalty method for indifference pricing of American option in a liquidity switching market

Cites Work

• INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
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