Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
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Publisher
Springer International Publishing
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http://link.springer.com/content/pdf/10.1007/978-3-319-26520-9_40
Reference9 articles.
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3. Gyulov, T.B., Vulkov, L.G.: Well-posedness and compaison principle for option pricing with switching liquidity. arXiv: 1502.07622v1 (q-fin.MF)
4. Liao, W., Khaliq, A.Q.M.: High order compact scheme for solving nonlinear Black-Scholes equation with transaction cost. Int. J. Comp. Math. 86(6), 1009–1023 (2009)
5. Ludkovski, M., Shen, Q.: European option pricing with liquidity shocks. Int. J. Theor. Appl. Financ. 16(7), 30 (Article ID: 1350043) (2013)
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