Numerical analysis and simulation of option pricing problems modeling illiquid markets
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Publication:988271
DOI10.1016/j.camwa.2010.02.014zbMath1193.91152OpenAlexW2038934079MaRDI QIDQ988271
C. Ballester, Enrique Ponsoda, Rafael Company, Lucas Jodar
Publication date: 26 August 2010
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2010.02.014
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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