✦ LIBER ✦

Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

✍ Scribed by M.-C. Casabán; R. Company; L. Jódar; J.-R. Pintos

Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 257 KB
Volume: 61
Category: Article
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2010.08.009

No coin nor oath required. For personal study only.

✦ Synopsis

This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme is proposed and a stability condition on the stepsize discretizations is given.