Option Pricing in Illiquid Markets with Jumps

The classical linear Black-Scholes model for pricing derivative securities is a popular model in the financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the assumption on the underlying asset price dynamics following a geom...

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Veröffentlicht in:	Applied mathematical finance. 2018-07, Vol.25 (4), p.395-415
Hauptverfasser:	Cruz, José M. T. S., Ševčovič, Daniel
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Differential equations Economic models finite difference approximation Lévy measure Markets Mathematical models Nonlinear analysis Nonlinear partial integro-differential equation Pricing Stochastic models Stochastic processes
Online-Zugang:	Volltext
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