dc.contributor.author |
Company Rossi, Rafael
|
es_ES |
dc.contributor.author |
Jódar Sánchez, Lucas Antonio
|
es_ES |
dc.contributor.author |
Pintos Taronger, José Ramón
|
es_ES |
dc.date.accessioned |
2015-05-15T12:43:31Z |
|
dc.date.available |
2015-05-15T12:43:31Z |
|
dc.date.issued |
2012-06 |
|
dc.identifier.issn |
0378-4754 |
|
dc.identifier.uri |
http://hdl.handle.net/10251/50301 |
|
dc.description.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 costs or illiquid market effects are taken into account. This paper deals with the numerical analysis of nonlinear Black-Scholes equations modeling illiquid markets when price impact in the underlying asset market affects the replication of a European contingent claim. Numerical analysis of a nonlinear model is necessary because disregarded computations may waste a good mathematical model. In this paper we propose a finite-difference numerical scheme that guarantees positivity of the solution as well as stability and consistency. © 2011 IMACS. Published by Elsevier B.V. All rights reserved. |
es_ES |
dc.description.sponsorship |
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. |
en_EN |
dc.language |
Inglés |
es_ES |
dc.publisher |
Elsevier |
es_ES |
dc.relation |
Spanish Department of Science and Education grant [TRA2007-68006-C02-02] |
es_ES |
dc.relation |
Generalitat Valenciana grant [GVPRE/20081092] |
es_ES |
dc.relation.ispartof |
Mathematics and Computers in Simulation |
es_ES |
dc.rights |
Reserva de todos los derechos |
es_ES |
dc.subject |
Illiquid Markets |
es_ES |
dc.subject |
Nonlinear Numerical Analysis |
es_ES |
dc.subject |
Option Pricing |
es_ES |
dc.subject |
Simulation |
es_ES |
dc.subject |
Black Scholes equations |
es_ES |
dc.subject |
Black-Scholes |
es_ES |
dc.subject |
Contingent claims |
es_ES |
dc.subject |
Financial risk management |
es_ES |
dc.subject |
Finite difference |
es_ES |
dc.subject |
Liquid markets |
es_ES |
dc.subject |
Market effect |
es_ES |
dc.subject |
Non-linear model |
es_ES |
dc.subject |
Numerical scheme |
es_ES |
dc.subject |
Option pricing models |
es_ES |
dc.subject |
Price impacts |
es_ES |
dc.subject |
Transaction cost |
es_ES |
dc.subject |
Mathematical models |
es_ES |
dc.subject |
Nonlinear equations |
es_ES |
dc.subject |
Nonlinear systems |
es_ES |
dc.subject |
Numerical analysis |
es_ES |
dc.subject |
Risk management |
es_ES |
dc.subject |
Commerce |
es_ES |
dc.subject.classification |
MATEMATICA APLICADA |
es_ES |
dc.title |
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets |
es_ES |
dc.type |
Artículo |
es_ES |
dc.identifier.doi |
10.1016/j.matcom.2010.04.026 |
|
dc.rights.accessRights |
Abierto |
es_ES |
dc.contributor.affiliation |
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada |
es_ES |
dc.description.bibliographicCitation |
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. doi:10.1016/j.matcom.2010.04.026 |
es_ES |
dc.description.accrualMethod |
S |
es_ES |
dc.relation.publisherversion |
http://dx.doi.org/10.1016/j.matcom.2010.04.026 |
es_ES |
dc.description.upvformatpinicio |
1972 |
es_ES |
dc.description.upvformatpfin |
1985 |
es_ES |
dc.type.version |
info:eu-repo/semantics/publishedVersion |
es_ES |
dc.description.volume |
82 |
es_ES |
dc.description.issue |
10 |
es_ES |
dc.relation.senia |
231584 |
|