中国综合性科技类核心期刊(北大核心)

中国科学引文数据库来源期刊(CSCD)

美国《化学文摘》(CA)收录

美国《数学评论》(MR)收录

俄罗斯《文摘杂志》收录

Message Board

Respected readers, authors and reviewers, you can add comments to this page on any questions about the contribution, review, editing and publication of this journal. We will give you an answer as soon as possible. Thank you for your support!

Name
E-mail
Phone
Title
Content
Verification Code
Issue 1
Jan.  2012
Turn off MathJax
Article Contents
NIU Cheng-hu, ZHOU Sheng-wu. Numerical solution of a non-arbitrage liquidity model based on uncertain volatility[J]. Journal of East China Normal University (Natural Sciences), 2012, (1): 121-129, 137.
Citation: NIU Cheng-hu, ZHOU Sheng-wu. Numerical solution of a non-arbitrage liquidity model based on uncertain volatility[J]. Journal of East China Normal University (Natural Sciences), 2012, (1): 121-129, 137.

Numerical solution of a non-arbitrage liquidity model based on uncertain volatility

  • Received Date: 2010-12-01
  • Rev Recd Date: 2011-03-01
  • Publish Date: 2012-01-25
  • The option pricing model in illiquidity markets was expanded to general situations by introducing two kinds of uncertain volatility models. As it is difficulty to get analytical solutions for the model in complicated cases, a numerical solution was discussed by establishing corresponding differential equations; and the stability and consistency of the sdution were proved. Finally, the influence of some parameters to the solution was provided in numerical examples. The results show that the algorithm reduced the restriction on step-length requirements, and satisfactory approximation can be found with less computation.
  • loading
  • [1]
    {1}

     BLACK F, SCHOLES M. The pricing of options and corporate liabilities[J].

     Political Economy, 1973, 81: 637-659.
    {2} BALLESTER C, COMPANY R, J\'{O}DAR L, et al. Numerical analysis and simulation of

     option pricing problems modeling illiquid markets[J]. Computers and Mathematics with Applications, 2010, 59(8): 2964-2975.
    {3} LIU H, YONG J. Option pricing with an illiquid underlying

    asset market[J]. Journal of Economic Dynamics and Control, 2005, 29:

    2125-2156.
    {4} COMPANY R, J\'{O}DAR L, PINTOS J R. Numerical analysis and

    computing for option pricing models in illiquid markets[J].

    Mathematical and Computer Modelling, 2010, 52: 1066-1073.
    {5}BAKSTEIN D, HOWISON S. An arbitrage-free liquidity model with

    observable parameters for derivatives[R]. Working paper,

    Mathematical Institute, Oxford University, 2004.
    {6}HOWISON S. Matched asymptotic expansions in financial

    engineering[J]. Journal of Engineering Mathematics Computers, 2005,

    53: 385-406.
    {7}CASAB\'{A}N M C, COMPANY R, J\'{O}DAR L, et al. Numerical

    analysis and computing of a non-arbitrage liquidity model with

    observable parameters for derivatives[J]. Computers and Mathematics

    with Applications. 2010, doi:10.1016/j. camwa. 2010.08.009.
    {8}BARLES G, SONER H M. Option pricing with transaction costs and

    a nonlinear Black-Scholes equation[J]. Finance Stoch, 1998, 2:

    369-397.
    {9} COMPANY R, NAVARRO R, PINTOS J R, et al. Numerical solution of

    linear and nonlinear Black-Scholes option pricing equations[J].

    Computers and Mathematics with Applications, 2008, 56: 813-821.

    {10} COMPANY R, J\'{A}DAR L, PONSODAR E. Numerical solution of

    Black-Scholes option pricing with variable yield discrete dividend

    payment[J]. Banach Center Publ, 2008, 83: 37-47.
    {11} COMPANY R, J\'{O}DAR L, PINTOS J R. A numerical method for

    european option pricing with transaction costs nonlinear

    equation[J]. Mathematical and Computer Modelling, 2009, 50: 910-920.
    {12} COMPANY R, J\'{O}DAR L, PINTOS J R, et al. Computing option

    pricing models under transaction costs[J]. Computers and Mathematics

    with Applications, 2010, 59: 651-662.
    {13} JANDA\v{C}KA M, \v{S}EV\v{C}OVI\v{C} D. On the risk-adjusted

    pricing-methodology-based valuation of vanilla options and

    explanation of the volatility smile[J]. J Appl Math, 2005(3):

    235-258.
  • 加载中

Catalog

    通讯作者: 陈斌, bchen63@163.com
    • 1. 

      沈阳化工大学材料科学与工程学院 沈阳 110142

    1. 本站搜索
    2. 百度学术搜索
    3. 万方数据库搜索
    4. CNKI搜索
    Article views (2262) PDF downloads(2109) Cited by()
    Proportional views

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return