Option prices under liquidity risk as weak solutions of semilinear diffusion equations

DOI10.1007/s00030-017-0435-0zbMath1375.91222OpenAlexW3124209543WikidataQ59522658 ScholiaQ59522658MaRDI QIDQ2410980

Alexandre F. Roch, Matthias Albrecht Fahrenwaldt

Publication date: 20 October 2017

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00030-017-0435-0

zbMATH Keywords

weak convergenceoption pricingliquiditydegenerate parabolic partial differential equations

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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