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

DOI10.1016/j.camwa.2010.08.009zbMath1219.91148WikidataQ112880429 ScholiaQ112880429MaRDI QIDQ636593

M. C. Casabán, Rafael Company, José-Ramón Pintos, Lucas Jodar

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 pricing; nonlinear partial differential equation; numerical analysis

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

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Related Items

On splitting-based numerical methods for nonlinear models of European options, Analysis of the nonlinear option pricing model under variable transaction costs, Removing the correlation term in option pricing Heston model: numerical analysis and computing

Cites Work

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