𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

✍ Scribed by Company, Rafael; Jódar, Lucas; Pintos, José-Ramón

Book ID
123387575
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
608 KB
Volume
82
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Numerical analysis and computing for opt
Numerical analysis and computing for option pricing models in illiquid markets
✍ Rafael Company; Lucas Jódar; José-Ramón Pintos 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 324 KB

Nowadays market liquidity has become an issue of very high concern in financial risk management. This paper deals with the numerical analysis and computing of nonlinear models of option pricing that appear when illiquid market effects are taken into account. A consistent monotone finite difference s

A numerical scheme for periodic travelli
A numerical scheme for periodic travelling-wave simulations in some nonlinear dispersive wave models
✍ J. Álvarez; A. Durán 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 351 KB

A numerical method for simulating periodic travelling-wave solutions of some nonlinear dispersive wave equations is proposed. The construction of the scheme is based on an efficient computation of the elements that characterize these solutions: the initial profile and the velocity of the wave.

[Lecture Notes in Computer Science] Nume
[Lecture Notes in Computer Science] Numerical Methods and Applications Volume 6046 || A Numerical Approach for the American Call Option Pricing Model
✍ Dimov, Ivan; Dimova, Stefka; Kolkovska, Natalia 📂 Article 📅 2011 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 299 KB

This Book Constitutes The Thoroughly Refereed Post-conference Proceedings Of The 7th International Conference On Numerical Methods And Applications, Nma 2010, Held In Borovets, Bulgaria, In August 2010. The 60 Revised Full Papers Presented Together With 3 Invited Papers Were Carefully Reviewed And S