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Casabán Bartual Mª Consuelo, Company Rossi Rafael, Jódar Sánchez Lucas Antonio, Pintos Taronger José Ramón
2011
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.