Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes-Reference-Cited by-同舟云学术

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Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes

Published:2013-07-08 Issue:1 Volume:30 Page:210-221
ISSN:0749-159X
Container-title:Numerical Methods for Partial Differential Equations
language:en
Short-container-title:Numer. Methods Partial Differential Eq.

Author:

González-Parra Gilberto¹²³,Arenasm Abraham J.⁴⁵,Chen-Charpentier Benito M.³

Affiliation:

1. Grupo de Matemática Multidisciplinar (GMM), Fac. de Ingeniería; Universidad de los Andes; Mérida Venezuela

2. Centro de Investigaciones en Matemática Aplicada (CIMA); Universidad de Los Andes; Mérida Venezuela

3. Department of Mathematics; University of Texas at Arlington; Arlington Texas 76019-0408

4. Departamento de Matemáticas y Estadística; Universidad de Córdoba; Montería Colombia

5. Grupo Teseeo; Universidad del Sinú; Montería Colombia

Publisher

Wiley

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/num.21804/fullpdf

Reference21 articles.

1. Theory of rational option pricing;Merton;Bell J Econom Manag Sci,1973

2. The pricing of options and corporate liabilities;Black;J Pol Econ,1973

3. Matched asymptotic expansions in financial engineering;Howison;J Eng Math,2005

4. Option pricing with transaction costs and a nonlinear black-scholes equation;Barles;Fin Stoch,1998

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