Valuation of European options with liquidity shocks switching by fitted finite volume method

DOI10.1007/978-3-030-41032-2_67MaRDI QIDQ3297745zbMATH OpenOpenAlexFDO

Authors Miglena N. Koleva, Lubin G. Vulkov

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-41032-2_67

zbMATH Keywords

European options pricingfitted finite volume method

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• scientific article; zbMATH DE number 7589106

Cites work

• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• A positive splitting method for mixed hyperbolic-parabolic systems
• A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
• Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• scientific article; zbMATH DE number 1967777 (Why is no real title available?)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
• Well posedness and comparison principle for option pricing with switching liquidity

Cited in

(10)

• Well posedness and comparison principle for option pricing with switching liquidity
• Penalty method for indifference pricing of American option in a liquidity switching market
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
• Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• scientific article; zbMATH DE number 7589106 (Why is no real title available?)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
• Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods
• Numerical valuation of American options with liquidity shocks using IMEX methods

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