Numerical analysis and computing for option pricing models in illiquid markets

DOI10.1016/J.MCM.2010.02.037MaRDI QIDQ622980zbMATH OpenOpenAlexFDO

Authors José-Ramón Pintos, R. Company, L. Jódar

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 differencenumerical analysisBlack-Scholes equationilliquid markets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A numerical method for European option pricing with transaction costs nonlinear equation
• Constructing oscillation preventing scheme for advection equation by rational function
• Continuous Auctions and Insider Trading
• Far field boundary conditions for Black-Scholes equations
• Option pricing with an illiquid underlying asset market

Cited in

(17)

• High‐performance numerical pricing methods
• Numerical solution of a stochastic control problem of option pricing for a liquidity switching market
• On option pricing in illiquid markets with jumps
• NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
• Option pricing with illiquidity during a high volatile period
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• A nonlinear option pricing model through the Adomian decomposition method
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• On some option pricing models on illiquid markets
• On the numerical solution of nonlinear option pricing equation in illiquid markets
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• scientific article; zbMATH DE number 5583549 (Why is no real title available?)
• Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
• Numerical pricing of exchange option with stock liquidity under Bayesian statistical method

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