- -

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

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

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

Show full item record

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

Files in this item

Thumbnail
Name: VersionAutor.pdf
Size: 163.1Kb
Format: PDF
Description: Versión del Autor.
Open/Preview
Thumbnail
Name: M.-C. Casabán;Com ...
Size: 257.0Kb
Format: PDF
Description: Versión editorial
Open/Preview

Item Metadata

Title: Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
Author: Casabán Bartual, Mª Consuelo Company Rossi, Rafael Jódar Sánchez, Lucas Antonio Pintos Taronger, José Ramón
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
Project ID:
MEC/DPI 2010-C02-01
Thanks:
This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.
Type: Artículo Comunicación en congreso

This item appears in the following Collection(s)

Show full item record