Company, Rafael; Jódar, Lucas; Pintos, José-Ramón - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 10, pp. 1972-1985
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black–Scholes problem. Nonlinear models appear when transaction costs or illiquid market effects are taken into account. This paper...