On the numerical solution of nonlinear option pricing equation in illiquid markets
DOI10.1016/J.CAMWA.2014.11.015zbMATH Open1360.91151OpenAlexW2024994261MaRDI QIDQ524693FDOQ524693
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
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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)
Cites Work
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- The modified local Crank-Nicolson method for one- and two-dimensional Burgers' equations
- Far field boundary conditions for Black-Scholes equations
- Explicit inverses of some tridiagonal matrices
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
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- A local Crank-Nicolson method for solving the heat equation
- Numerical methods for non-linear Black-Scholes equations
Cited In (17)
- High order method for Black-Scholes PDE
- A high-order finite difference method for option valuation
- Solving a nonlinear PDE that prices real options using utility based pricing methods
- 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
- 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
- Comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity
- A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
- Robust numerical algorithm to the European option with illiquid markets
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