Numerical analysis and computing for option pricing models in illiquid markets

DOI10.1016/j.mcm.2010.02.037zbMath1205.91168MaRDI QIDQ622980

Rafael Company, José-Ramón Pintos, Lucas Jodar

Publication date: 13 February 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.02.037

zbMATH Keywords

finite difference; Black-Scholes equation; numerical analysis; illiquid markets

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)