Numerical analysis and computing for option pricing models in illiquid markets
DOI10.1016/J.MCM.2010.02.037zbMATH Open1205.91168OpenAlexW2047768929MaRDI QIDQ622980FDOQ622980
José-Ramón Pintos, L. Jódar, R. Company
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
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Cites Work
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- Far field boundary conditions for Black-Scholes equations
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- Continuous Auctions and Insider Trading
- Option pricing with an illiquid underlying asset market
- A numerical method for European option pricing with transaction costs nonlinear equation
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Cited In (10)
- High‐performance numerical pricing methods
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Option pricing with illiquidity during a high volatile period
- 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
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
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- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
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