Matches in SemOpenAlex for { <https://semopenalex.org/work/W1957441643> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W1957441643 endingPage "228" @default.
- W1957441643 startingPage "219" @default.
- W1957441643 abstract "We consider the problem of European option pricing in a market which experiences instances of liquidity and illiquidity. The investor's problem of util- ity maximisation whose solution is characterised by a semilinear coupled Hamilton Jacobi Bellman (HJB) equation is analysed numerically. A discrete maximum prin- ciple is derived and conditions on the time step which ensure the preservation of positivity of the solution are deduced. We analyse the numerical scheme and present results on the order of convergence and error in the maximum norm. the behaviour of real markets. In this paper, we consider the liquidity crisis which is characterised by low trade volumes of stocks and abrupt and huge changes in prices. We consider the problem of option pricing in the event of that the market experiences liquidity shocks. Under these circumstances, the market is incomplete due to the restrictions on stock holdings which investors can have contrary to the classical Black-Scholes framework. We assume a regime-switching Markov model of market liquidity with two states; liquid state and the illiquid state. In the liquid state the market is friction- less and investors can trade arbitrary amounts of stocks without aecting stock" @default.
- W1957441643 created "2016-06-24" @default.
- W1957441643 creator A5069997843 @default.
- W1957441643 date "2015-09-03" @default.
- W1957441643 modified "2023-10-17" @default.
- W1957441643 title "Numerical solution of a stochastic control problem of option pricing for a liquidity switching market" @default.
- W1957441643 cites W1558902221 @default.
- W1957441643 cites W1567262822 @default.
- W1957441643 cites W1568002274 @default.
- W1957441643 cites W1922454580 @default.
- W1957441643 cites W1974418079 @default.
- W1957441643 cites W2105832006 @default.
- W1957441643 cites W2115163964 @default.
- W1957441643 cites W3035235874 @default.
- W1957441643 cites W3121554115 @default.
- W1957441643 cites W3122567419 @default.
- W1957441643 cites W3124305825 @default.
- W1957441643 cites W70169678 @default.
- W1957441643 hasPublicationYear "2015" @default.
- W1957441643 type Work @default.
- W1957441643 sameAs 1957441643 @default.
- W1957441643 citedByCount "0" @default.
- W1957441643 crossrefType "journal-article" @default.
- W1957441643 hasAuthorship W1957441643A5069997843 @default.
- W1957441643 hasConcept C10138342 @default.
- W1957441643 hasConcept C106159729 @default.
- W1957441643 hasConcept C126255220 @default.
- W1957441643 hasConcept C144237770 @default.
- W1957441643 hasConcept C14646407 @default.
- W1957441643 hasConcept C149782125 @default.
- W1957441643 hasConcept C151730666 @default.
- W1957441643 hasConcept C162324750 @default.
- W1957441643 hasConcept C170131372 @default.
- W1957441643 hasConcept C182306322 @default.
- W1957441643 hasConcept C183582576 @default.
- W1957441643 hasConcept C196978813 @default.
- W1957441643 hasConcept C2780299701 @default.
- W1957441643 hasConcept C2780762169 @default.
- W1957441643 hasConcept C33923547 @default.
- W1957441643 hasConcept C556758197 @default.
- W1957441643 hasConcept C86803240 @default.
- W1957441643 hasConcept C91575142 @default.
- W1957441643 hasConceptScore W1957441643C10138342 @default.
- W1957441643 hasConceptScore W1957441643C106159729 @default.
- W1957441643 hasConceptScore W1957441643C126255220 @default.
- W1957441643 hasConceptScore W1957441643C144237770 @default.
- W1957441643 hasConceptScore W1957441643C14646407 @default.
- W1957441643 hasConceptScore W1957441643C149782125 @default.
- W1957441643 hasConceptScore W1957441643C151730666 @default.
- W1957441643 hasConceptScore W1957441643C162324750 @default.
- W1957441643 hasConceptScore W1957441643C170131372 @default.
- W1957441643 hasConceptScore W1957441643C182306322 @default.
- W1957441643 hasConceptScore W1957441643C183582576 @default.
- W1957441643 hasConceptScore W1957441643C196978813 @default.
- W1957441643 hasConceptScore W1957441643C2780299701 @default.
- W1957441643 hasConceptScore W1957441643C2780762169 @default.
- W1957441643 hasConceptScore W1957441643C33923547 @default.
- W1957441643 hasConceptScore W1957441643C556758197 @default.
- W1957441643 hasConceptScore W1957441643C86803240 @default.
- W1957441643 hasConceptScore W1957441643C91575142 @default.
- W1957441643 hasIssue "2" @default.
- W1957441643 hasLocation W19574416431 @default.
- W1957441643 hasOpenAccess W1957441643 @default.
- W1957441643 hasPrimaryLocation W19574416431 @default.
- W1957441643 hasRelatedWork W1541066452 @default.
- W1957441643 hasRelatedWork W1737670939 @default.
- W1957441643 hasRelatedWork W2039849394 @default.
- W1957441643 hasRelatedWork W2117674765 @default.
- W1957441643 hasRelatedWork W2130258445 @default.
- W1957441643 hasRelatedWork W2241695149 @default.
- W1957441643 hasRelatedWork W2617455273 @default.
- W1957441643 hasRelatedWork W2772052714 @default.
- W1957441643 hasRelatedWork W2803178456 @default.
- W1957441643 hasRelatedWork W2952762841 @default.
- W1957441643 hasRelatedWork W2964078720 @default.
- W1957441643 hasRelatedWork W3000399279 @default.
- W1957441643 hasRelatedWork W3041997399 @default.
- W1957441643 hasRelatedWork W3121375762 @default.
- W1957441643 hasRelatedWork W3122033116 @default.
- W1957441643 hasRelatedWork W3123905135 @default.
- W1957441643 hasRelatedWork W3124074361 @default.
- W1957441643 hasRelatedWork W3126139107 @default.
- W1957441643 hasRelatedWork W2149641641 @default.
- W1957441643 hasRelatedWork W2524831344 @default.
- W1957441643 hasVolume "84" @default.
- W1957441643 isParatext "false" @default.
- W1957441643 isRetracted "false" @default.
- W1957441643 magId "1957441643" @default.
- W1957441643 workType "article" @default.