A Fréchet derivative‐based novel approach to option pricing models in illiquid markets

DOI10.1002/MMA.7821MaRDI QIDQ6188915zbMATH OpenOpenAlexFDO

Authors Seda Gülen, Murat Sari

Publication date 12 January 2024

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

Full work available at URL https://doi.org/10.1002/mma.7821

zbMATH Keywords

Fréchet derivativehedge costilliquid marketslinearizationNewton iterationnonlinear Black-Scholes equation

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• Neural network based techniques for steep behaviour represented by nonlinear advection-diffusion-reaction models
• An investigation on nonlinear option pricing behaviours through a new Fréchet derivative-based quadrature approach

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