Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
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Publication:2874174
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
Black-Scholes model; numerical solution; nonstandard finite difference methods; no-arbitrage liquidity model
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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