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

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

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Company Rossi, R.; Jódar Sánchez, LA.; Pintos Taronger, JR. (2012). A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets. Mathematics and Computers in Simulation. 82(10):1972-1985. https://doi.org/10.1016/j.matcom.2010.04.026

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/50301

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Title: A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
Author: Company Rossi, Rafael Jódar Sánchez, Lucas Antonio Pintos Taronger, José Ramón
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black-Scholes problem. Nonlinear models appear when transaction ...[+]
Subjects: Illiquid Markets , Nonlinear Numerical Analysis , Option Pricing , Simulation , Black Scholes equations , Black-Scholes , Contingent claims , Financial risk management , Finite difference , Liquid markets , Market effect , Non-linear model , Numerical scheme , Option pricing models , Price impacts , Transaction cost , Mathematical models , Nonlinear equations , Nonlinear systems , Numerical analysis , Risk management , Commerce
Copyrigths: Reserva de todos los derechos
Source:
Mathematics and Computers in Simulation. (issn: 0378-4754 )
DOI: 10.1016/j.matcom.2010.04.026
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.matcom.2010.04.026
Project ID:
info:eu-repo/grantAgreement/MEC//TRA2007-68006-C02-02/ES/DESARROLLO Y VALIDACION DE NUEVOS MODELOS 1D DE CAVITACION, MODELADO DEL CHORRO Y SUS INTERACCIONES/
info:eu-repo/grantAgreement/GVA//GVPRE%2F20081092/
Thanks:
This paper has been supported by the Spanish Department of Science and Education grant TRA2007-68006-C02-02 and the Generalitat Valenciana grant GVPRE/20081092.
Type: Artículo

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