Casabán Bartual, MC.; Company Rossi, R.; Jódar Sánchez, LA.; Pintos Taronger, JR. (2011). Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives. Computers and Mathematics with Applications. 61(8):1951-1956. doi:10.1016/j.camwa.2010.08.009
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/78691
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Title:
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Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
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Author:
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Casabán Bartual, Mª Consuelo
Company Rossi, Rafael
Jódar Sánchez, Lucas Antonio
Pintos Taronger, José Ramón
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UPV Unit:
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Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Universitat Politècnica de València. Escuela Técnica Superior de Ingeniería Agronómica y del Medio Natural - Escola Tècnica Superior d'Enginyeria Agronòmica i del Medi Natural
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Issued date:
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Abstract:
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[EN] 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 ...[+]
[EN] 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. © 2010 Elsevier Ltd. All rights reserved.
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Subjects:
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Nonlinear partial differential equation
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Numerical analysis
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Option pricing
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A-stability
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Discretizations
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Finite difference scheme
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Non-linear model
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Nonlinear partial differential equations
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Stepsize
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Differentiation (calculus)
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Economics
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Nonlinear analysis
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Nonlinear equations
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Partial differential equations
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Copyrigths:
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Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
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Source:
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Computers and Mathematics with Applications. (issn:
0898-1221
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DOI:
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10.1016/j.camwa.2010.08.009
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Publisher:
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Elsevier
Pergamon
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Publisher version:
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http://dx.doi.org/10.1016/j.camwa.2010.08.009
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Conference name:
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3rd International Symposium on Nonlinear Dynamics
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Conference place:
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Shanghai, China
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Conference date:
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September 25-28, 2010
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Project ID:
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MEC/DPI 2010-C02-01
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Thanks:
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This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.
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Type:
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Artículo
Comunicación en congreso
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