Numerical analysis and simulation of option pricing problems modeling illiquid markets

DOI10.1016/j.camwa.2010.02.014zbMath1193.91152MaRDI QIDQ988271

Rafael Company, Enrique Ponsoda, C. Ballester, 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

zbMATH Keywords

simulation; option pricing; illiquid markets; nonlinear 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

91G20: Derivative securities (option pricing, hedging, etc.)