On the numerical solution of nonlinear option pricing equation in illiquid markets.
Jianqiang GuoWansheng WangPublished in: Comput. Math. Appl. (2015)
Keyphrases
- numerical solution
- option pricing
- nonlinear equations
- finite difference
- boundary value problem
- difference equations
- black scholes
- stock price
- ordinary differential equations
- numerical methods
- differential equations
- partial differential equations
- decision analysis
- linear systems
- real option
- finite element
- financial markets
- black scholes model
- neural network
- exact solution
- high order
- linear program
- denoising
- fuzzy logic
- optimal solution
- numerical integration
- multiscale