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Computational accuracy and distributional analysis in models with incomplete markets and aggregate uncertainty

✍ Scribed by Michal Horvath


Book ID
116423489
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
394 KB
Volume
117
Category
Article
ISSN
0165-1765

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Numerical analysis and computing for opt
✍ Rafael Company; Lucas JΓ³dar; JosΓ©-RamΓ³n Pintos πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 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