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

作者：Casaban M C; Company R^*; Jodar L; Pintos J R

来源：Computers & Mathematics with Applications, 2011, 61(8): 1951-1956.

DOI：10.1016/j.camwa.2010.08.009

• Nonlinear partial differential equation
• Numerical analysis
• Option pricing

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.

• 出版日期2011-4