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- W4301801729 abstract "Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described by solutions to the generalized Black-Scholes parabolic equation with a diffusion term nonlinearly depending on the option price itself. Different linearization techniques such as Newton's method and analytic asymptotic approximation formula are adopted and compared for a wide class of nonlinear Black-Scholes equations including, in particular, the market illiquidity model and the risk-adjusted pricing model. Accuracy and time complexity of both numerical methods are compared. Furthermore, market quotes data was used to calibrate model parameters." @default.
- W4301801729 created "2022-10-05" @default.
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- W4301801729 date "2015-11-18" @default.
- W4301801729 modified "2023-10-06" @default.
- W4301801729 title "Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations" @default.
- W4301801729 doi "https://doi.org/10.48550/arxiv.1511.05661" @default.
- W4301801729 hasPublicationYear "2015" @default.
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