Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
DOI10.1016/J.CAMWA.2010.08.009zbMATH Open1219.91148OpenAlexW1985014572WikidataQ112880429 ScholiaQ112880429MaRDI QIDQ636593FDOQ636593
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
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Cites Work
- Title not available (Why is that?)
- Matched asymptotic expansions in financial engineering
- Option pricing with an illiquid underlying asset market
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- Title not available (Why is that?)
Cited In (7)
- Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
- Analysis of the nonlinear option pricing model under variable transaction costs
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- On splitting-based numerical methods for nonlinear models of European options
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