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A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

  • Published:2012-06 Issue:10 Volume:82 Page:1972-1985
  • ISSN:0378-4754
  • Container-title:Mathematics and Computers in Simulation
  • language:en
  • Short-container-title:Mathematics and Computers in Simulation

Author:

Company Rafael,Jódar Lucas,Pintos José-Ramón

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference25 articles.

1. On the numerical solution of nonlinear Black–Scholes equations;Ankudinova;Computers & Mathematics with Applications,2008

2. Asymmetric information and options;Back;Review of Financial Studies,1993

3. Optimal control of execution costs;Bertsimas;Journal of Financial Markets,1998

4. Implicit–explicit numerical schemes for jump-diffusion processes;Briani;Calcolo,2007

5. A numerical method for European option pricing with transaction costs nonlinear equation;Company;Mathematical and Computer Modelling,2009

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