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

Autores UPV
Revista Computers & Mathematics with Applications


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.