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A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
16 references·0 citing·35 second hop
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (2010)A consistent stable numerical scheme for …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …On the numerical solution of nonlinear Black–Scholes equations (2008)On the numerical solution of …Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Option pricing with an illiquid underlying asset market (2005)Option pricing with an illiqu…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Numerical convergence properties of option pricing PDEs with uncertain volatility (2003)Numerical convergence propert…Value at Risk (2001)Value at RiskStrategic Trading in a Dynamic Noisy Market (2001)Strategic Trading in a Dynami…Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Forward-Backward Stochastic Differential Equations and Their Applications (1999)Forward-Backward Stochastic D…Optimal control of execution costs (1998)Optimal control of execution …Optimal consumption choices for a ‘large’ investor (1998)Optimal consumption choices f…General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)General Black-Scholes models …Hedging options for a large investor and forward-backward SDE's (1996)Hedging options for a large i…Asymmetric Information and Options (1993)Asymmetric Information and Op…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Martingales and arbitrage in multiperiod securities markets (1979)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Brownian Motion and Stochastic Calculus (2007)O/S: The relative trading activity in options and stock (2009)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Pricing of Options and Corporate Liabilities (1973)Option pricing: Mathematical models and computation (1994)Methods of Mathematical Finance (1998)A penalty method for American options with jump diffusion processes (2004)Operator splitting methods for American option pricing (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Numerical methods for forward-backward stochastic differential equations (1996)Finding adapted solutions of forward–backward stochastic differential equations: method of continuation (1997)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)A numerical scheme for BSDEs (2004)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2001Value at Risk846 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1993Asymmetric Information and Options360 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • 1998Optimal consumption choices for a ‘large’ investor173 cited
  • 1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited
  • 2003Numerical convergence properties of option pricing PDEs with uncertain volatility157 cited
  • 2008On the numerical solution of nonlinear Black–Scholes equations155 cited
  • 2001Strategic Trading in a Dynamic Noisy Market143 cited
  • 2005Option pricing with an illiquid underlying asset market

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