Robust numerical algorithm to the European option with illiquid markets
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Publication:2284751
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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Cited in
(5)- Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
- Solving free boundary problem for an initial cell layer in multispecies biofilm formation by Newton-Raphson method
- On the numerical solution of nonlinear option pricing equation in illiquid markets
- Newton's method for solving Hilfer fractional Volterra-Fredholm integro differential equations
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
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