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

DOI10.1016/j.cam.2015.11.049zbMath1331.91193arXiv1503.09008OpenAlexW1838980340MaRDI QIDQ5962602

Walter Mudzimbabwe, Lubin G. Vulkov

Publication date: 15 February 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.09008

zbMATH Keywords

comparison principlefinite difference schemepositivityEuropean optionsparabolic-ordinary system

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items

Efficient finite difference method for optimal portfolio in a power utility regime-switching model, Monotone iterative finite volume algorithms for coupled systems of first‐order nonlinear PDEs, Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks, High Order Compact Schemes for Option Pricing with Liquidity Shocks, Fitted finite volume method for indifference pricing in an exponential utility regime-switching model, Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method, Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks, Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model, Penalty method for indifference pricing of American option in a liquidity switching market, Numerical method for optimal portfolio in an exponential utility regime-switching model

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