Pages that link to "Item:Q5746930"

The following pages link to EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (Q5746930):

Displaying 16 items.

• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351) (← links)
• Well posedness and comparison principle for option pricing with switching liquidity (Q1644320) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
• Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806) (← links)
• A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model (Q2315816) (← links)
• Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method (Q3297745) (← links)
• Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks (Q3304790) (← links)
• Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks (Q4626504) (← links)
• High Order Compact Schemes for Option Pricing with Liquidity Shocks (Q4626511) (← links)
• Numerical method for optimal portfolio in an exponential utility regime-switching model (Q5030573) (← links)
• American Options in an Illiquid Market: Nonlinear Complementary Method (Q5274994) (← links)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks (Q5962602) (← links)
• Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods (Q6549868) (← links)
• RBF–based IMEX finite difference schemes for pricing option under liquidity switching (Q6590589) (← links)
• The valuation of American options with the stochastic liquidity risk and jump risk (Q6608229) (← links)