Numerical analysis and simulation of European options under liquidity shocks: A coupled semilinear system approach with new IMEX methods-Reference-Cited by-同舟云学术

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Numerical analysis and simulation of European options under liquidity shocks: A coupled semilinear system approach with new IMEX methods

Published:2024-07 Issue: Volume:165 Page:28-38
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Singh Ankit^ORCID,Maurya Vikas,Rajpoot Manoj K.^ORCID

Publisher

Elsevier BV

Reference24 articles.

1. European option pricing with liquidity shocks;Ludkovski;Int. J. Theor. Appl. Finance,2013

2. Fully implicit time-stepping schemes for a parabolic-ODE system of European options with liquidity shocks;Koleva;Lect. Notes Comput. Sci.,2015

3. Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model;Koleva;Numer. Algorithms,2017

4. IMEX schemes for a parabolic-ODE system of European options with liquidity shocks;Mudzimbabwe;J. Comput. Appl. Math.,2016

5. Valuation of European options with liquidity shocks switching by fitted finite volume method;Koleva;Lect. Notes Comput. Sci.,2020

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