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

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

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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: Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
Author:
UPV Unit: 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
Issued date:
Abstract:
[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 ...[+]
Subjects: Nonlinear partial differential equation , Numerical analysis , Option pricing , A-stability , Discretizations , Finite difference scheme , Non-linear model , Nonlinear partial differential equations , Stepsize , Differentiation (calculus) , Economics , Nonlinear analysis , Nonlinear equations , Partial differential equations
Copyrigths: Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
Source:
Computers and Mathematics with Applications. (issn: 0898-1221 )
DOI: 10.1016/j.camwa.2010.08.009
Publisher:
Elsevier
Pergamon
Publisher version: http://dx.doi.org/10.1016/j.camwa.2010.08.009
Conference name: 3rd International Symposium on Nonlinear Dynamics
Conference place: Shanghai, China
Conference date: September 25-28, 2010
Thanks:
This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.
Type: Artículo Comunicación en congreso

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