شماره ركورد كنفرانس :
3140
عنوان مقاله :
Pseudospectral methods for option pricing problems modeling of illiquid markets
عنوان به زبان ديگر :
Pseudospectral methods for option pricing problems modeling of illiquid markets
پديدآورندگان :
Ramezani Mehdi نويسنده Tafresh University - Tafresh - Iran , Rezazadeh Maryam نويسنده Tafresh University - Tafresh - Iran , Shahrezaee Mohsen نويسنده Emam Hossein University - Tehran - Iran
كليدواژه :
Illiquid markets , Option Pricing , Rational Chebyshev functions , nonlinear Black-Scholes equation , leapfrog , Discrete Fourier series , Pseudospectral methods
عنوان كنفرانس :
يازدهمين كنفرانس آمار ايران
چكيده لاتين :
In this paper, we study the numerical solutions of nonlinear BlackScholes equations modeling illiquid markets where the implementation of a dynamic hedging strategy affects the price process of the underlying asset. Then, we present two pseudospectral methods based on Fourier series and rational Chebyshev functions for solving this Equation. With tasing this mEthods, we can decrease partial differential equation to an ordinary differential equations that is solved by the leapfrog difference scheme and the fourthoreder Runge-Kutta, method, respectively
شماره مدرك كنفرانس :
4219389
