Option Pricing in Illiquid Markets with Jumps
From MaRDI portal
Publication:5742994
DOI10.1080/1350486X.2019.1585267zbMath1411.91619arXiv1901.06467OpenAlexW2914713494MaRDI QIDQ5742994
Daniel Ševčovič, José M. T. S. Cruz
Publication date: 8 May 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.06467
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)
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