Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks

DOI10.1007/978-3-319-61282-9_13zbMath1420.91520OpenAlexW2754771338MaRDI QIDQ4626504

Walter Mudzimbabwe, Lubin G. Vulkov

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_13

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks