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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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dc.contributor.author Casabán Bartual, Mª Consuelo es_ES
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 2017-03-13T08:29:57Z
dc.date.available 2017-03-13T08:29:57Z
dc.date.issued 2011
dc.identifier.issn 0898-1221
dc.identifier.uri http://hdl.handle.net/10251/78691
dc.description.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 is proposed and a stability condition on the stepsize discretizations is given. © 2010 Elsevier Ltd. All rights reserved. es_ES
dc.description.sponsorship This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.
dc.language Inglés es_ES
dc.publisher Elsevier es_ES
dc.publisher Pergamon es_ES
dc.relation MEC/DPI 2010-C02-01 es_ES
dc.relation.ispartof Computers and Mathematics with Applications es_ES
dc.rights Reconocimiento - No comercial - Sin obra derivada (by-nc-nd) es_ES
dc.subject Nonlinear partial differential equation es_ES
dc.subject Numerical analysis es_ES
dc.subject Option pricing es_ES
dc.subject A-stability es_ES
dc.subject Discretizations es_ES
dc.subject Finite difference scheme es_ES
dc.subject Non-linear model es_ES
dc.subject Nonlinear partial differential equations es_ES
dc.subject Stepsize es_ES
dc.subject Differentiation (calculus) es_ES
dc.subject Economics es_ES
dc.subject Nonlinear analysis es_ES
dc.subject Nonlinear equations es_ES
dc.subject Partial differential equations es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives es_ES
dc.type Artículo es_ES
dc.type Comunicación en congreso
dc.identifier.doi 10.1016/j.camwa.2010.08.009
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports es_ES
dc.contributor.affiliation Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Técnica Superior de Ingeniería Agronómica y del Medio Natural - Escola Tècnica Superior d'Enginyeria Agronòmica i del Medi Natural es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.conferencename 3rd International Symposium on Nonlinear Dynamics
dc.relation.conferencedate September 25-28, 2010
dc.relation.conferenceplace Shanghai, China
dc.relation.publisherversion http://dx.doi.org/10.1016/j.camwa.2010.08.009 es_ES
dc.description.upvformatpinicio 1951 es_ES
dc.description.upvformatpfin 1956 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 61 es_ES
dc.description.issue 8 es_ES
dc.relation.senia 206963 es_ES
dc.contributor.funder Ministerio de Educación y Ciencia


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