Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes

DOI10.1002/num.21804zbMath1279.91184WikidataQ57572539 ScholiaQ57572539MaRDI QIDQ2874174

Gilberto González-Parra, Abraham J. Arenasm, Benito M. Chen-Charpentier

Publication date: 29 January 2014

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.21804

zbMATH Keywords

Black-Scholes model; numerical solution; nonstandard finite difference methods; no-arbitrage liquidity model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

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