On the numerical solution of nonlinear option pricing equation in illiquid markets

DOI10.1016/J.CAMWA.2014.11.015MaRDI QIDQ524693zbMATH OpenOpenAlexFDO

Authors Jianqiang Guo, Wansheng Wang

Publication date 3 May 2017

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2014.11.015

zbMATH Keywords

option pricingstabilitypositivitysplitting methodsnonlinear Black-Scholes equationilliquid markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Recommendations

• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Robust numerical algorithm to the European option with illiquid markets
• A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
• Numerical analysis and computing for option pricing models in illiquid markets

Cites work

• scientific article; zbMATH DE number 1967777 (Why is no real title available?)
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• A local Crank-Nicolson method for solving the heat equation
• Explicit inverses of some tridiagonal matrices
• Far field boundary conditions for Black-Scholes equations
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Numerical methods for non-linear Black-Scholes equations
• Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
• The modified local Crank-Nicolson method for one- and two-dimensional Burgers' equations
• The pricing of options and corporate liabilities

Cited in

(17)

• High order method for Black-Scholes PDE
• Solving a nonlinear PDE that prices real options using utility based pricing methods
• A high-order finite difference method for option valuation
• NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
• On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• On splitting-based numerical methods for nonlinear models of European options
• Numerical analysis and computing for option pricing models in illiquid markets
• Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Fast numerical valuation of options with jump under Merton's model
• A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
• Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
• Robust numerical algorithm to the European option with illiquid markets
• Comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity

This page was built for publication: On the numerical solution of nonlinear option pricing equation in illiquid markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q524693)