Displaying similar documents to “DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike”

Option pricing in a CEV model with liquidity costs

Krzysztof Turek (2016)

Applicationes Mathematicae

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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...

Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Rafael Company, Lucas Jódar, José-Ramón Pintos (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

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This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of...

A mathematical model of inflammation during ischemic stroke

Cristiana Di Russo, Jean-Baptiste Lagaert, Guillemette Chapuisat, Marie-Aimée Dronne (2010)

ESAIM: Proceedings

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In this article we propose a model to describe the inflammatory process which occurs during ischemic stroke. First, an introduction to some basic concepts about the biological phenomenon is given. Then, a detailed derivation of the model and the numerical scheme used are presented. Finally, the studies of the model robustness and sensitivity are showed and some numerical results on the time and space evolution of the process are presented...

Variational sensitivity analysis of parametric Markovian market models

Norbert Hilber, Christoph Schwab, Christoph Winter (2008)

Banach Center Publications

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Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent...

Pricing forward-start options in the HJM framework; evidence from the Polish market

P. Sztuba, A. Weron (2001)

Applicationes Mathematicae

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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.