Option pricing with illiquidity during a high volatile period

DOI10.1002/MMA.7612MaRDI QIDQ6139713zbMATH OpenOpenAlexFDO

Authors Youssef El-Khatib, Abdulnasser Hatemi-J

Publication date 19 December 2023

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.7612

zbMATH Keywords

stochastic processesnumerical methodsfinancial crisisPDEsilliquid marketsderivatives securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Calcul stochastique et problèmes de martingales
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Numerical analysis and computing for option pricing models in illiquid markets
• On option pricing in illiquid markets with jumps
• Option pricing with an illiquid underlying asset market
• The pricing of options and corporate liabilities

Cited in

(2)

• An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
• scientific article; zbMATH DE number 1222791 (Why is no real title available?)

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