Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

Autor:	Casabán Bartual, Mª Consuelo, Company Rossi, Rafael, Jódar Sánchez, Lucas Antonio, Pintos Taronger, José Ramón
Rok vydání:	2011
Předmět:	Mathematical optimization Option pricing Differentiation (calculus) Economics Mathematics::Optimization and Control Stepsize Stability (probability) Modelling and Simulation A-stability Mathematics Nonlinear partial differential equations Partial differential equation Non-linear model Numerical analysis Observable Finite difference scheme Nonlinear equations Partial differential equations Nonlinear system Computational Mathematics Discretizations Monotone polygon Computational Theory and Mathematics Valuation of options Modeling and Simulation Nonlinear partial differential equation Arbitrage Nonlinear analysis MATEMATICA APLICADA
Zdroj:	RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia instname
ISSN:	0898-1221
DOI:	10.1016/j.camwa.2010.08.009
Popis:	[EN] This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme is proposed and a stability condition on the stepsize discretizations is given. © 2010 Elsevier Ltd. All rights reserved. This paper has been supported by the Spanish Department of Science and Education grant DPI2010-C02-01.
Databáze:	OpenAIRE
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