Robust numerical algorithm to the European option with illiquid markets
DOI10.1016/J.AMC.2019.124693zbMATH Open1433.91191OpenAlexW2975312956WikidataQ127199537 ScholiaQ127199537MaRDI QIDQ2284751FDOQ2284751
Authors: D. Ahmadian, O. Farkhondeh Rouz, K. Ivaz, Ali Safdari-Vaighani 
Publication date: 15 January 2020
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2019.124693
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Cited In (4)
- Solving free boundary problem for an initial cell layer in multispecies biofilm formation by Newton-Raphson method
- Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- On the numerical solution of nonlinear option pricing equation in illiquid markets
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