Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

DOI10.1016/J.CAMWA.2010.08.009MaRDI QIDQ636593zbMATH OpenOpenAlexWikidataFDO

Authors M.-C. Casabán, R. Company, L. Jódar, José-Ramón Pintos

Publication date 28 August 2011

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10251/78691

zbMATH Keywords

option pricingnumerical analysisnonlinear partial differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) 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 5656751 (Why is no real title available?)
• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Matched asymptotic expansions in financial engineering
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• Option pricing with an illiquid underlying asset market

Cited in

(7)

• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• On splitting-based numerical methods for nonlinear models of European options
• Analysis of the nonlinear option pricing model under variable transaction costs
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• Numerical analysis and computing for option pricing models in illiquid markets
• Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
• Removing the correlation term in option pricing Heston model: numerical analysis and computing

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