IMEX schemes for a parabolic-ODE system of European options with liquidity shocks-Reference-Cited by-同舟云学术

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IMEX schemes for a parabolic-ODE system of European options with liquidity shocks

Published:2016-06 Issue: Volume:299 Page:245-256
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Mudzimbabwe Walter,Vulkov Lubin

Funder

European Union

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference19 articles.

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

2. New numerical scheme for pricing american option with regime-switching;Khaliq;Int. J. Theor. Appl. Finance,2009

3. A Markov-modulated stochastic control problem with op- timal multiple stopping with application to finance;Leung,2010

4. Optimal Investment;Rogers,2013

5. Indifference Pricing: Theory and Applications;Carmona,2009

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1. Numerical analysis and simulation of European options under liquidity shocks: A coupled semilinear system approach with new IMEX methods;Computers & Mathematics with Applications;2024-07

2. Monotone iterative finite volume algorithms for coupled systems of first‐order nonlinear PDEs;ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik;2023-01-07

3. Penalty method for indifference pricing of American option in a liquidity switching market;Applied Numerical Mathematics;2022-02

4. Fitted finite volume method for indifference pricing in an exponential utility regime-switching model;Journal of Computational and Applied Mathematics;2021-05

5. Numerical analysis of a finite difference scheme for optimal portfolio in a power utility regime-switching model;THERMOPHYSICAL BASIS OF ENERGY TECHNOLOGIES (TBET 2020);2021

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