Chelyabinskiy Fiziko-Matematicheskiy Zhurnal
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Chelyab. Fiz.-Mat. Zh.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Chelyabinskiy Fiziko-Matematicheskiy Zhurnal, 2017, Volume 2, Issue 1, Pages 18–29 (Mi chfmj42)  
This article is cited in 2 scientific papers (total in 2 papers)

Mathematics

On some option pricing models on illiquid markets

M. M. Dyshaev

Chelyabinsk State University,Chelyabinsk, Russia
Full-text PDF (629 kB) Citations (2)
References:
PDF
HTML
Abstract: This paper presents an overview of some options pricing mathematical models, namely the model of Sircar and Papanicolaou, and the model of Schönbucher and Wilmott. These models are interesting in that they take into account the feedback effects from the large traders operations on an illiquid market. The paper presents the basic assumptions and restrictions of the models. For each of the model a final equation are given describing the dynamics of the prices of the derivative financial instruments under simulated conditions.
Keywords: options pricing, Black — Scholes model, Sircar — Papanicolaou model, Schönbucher — Wilmott model, illiquid market, stochastic process, partial differential equation, initial boundary value problem.
Received: 20.10.2016
Revised: 10.12.2016
Bibliographic databases:
Document Type: Article
UDC: 517.957,336.7
Language: Russian
Citation: M. M. Dyshaev, “On some option pricing models on illiquid markets”, Chelyab. Fiz.-Mat. Zh., 2:1 (2017), 18–29
Citation in format AMSBIB
\Bibitem{Dys17}
\by M.~M.~Dyshaev
\paper On some option pricing models on illiquid markets
\jour Chelyab. Fiz.-Mat. Zh.
\yr 2017
\vol 2
\issue 1
\pages 18--29
\mathnet{http://mi.mathnet.ru/chfmj42}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3653288}
\elib{https://elibrary.ru/item.asp?id=29078324}
Linking options:
  • https://www.mathnet.ru/eng/chfmj42
  • https://www.mathnet.ru/eng/chfmj/v2/i1/p18
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Chelyabinskiy Fiziko-Matematicheskiy Zhurnal
    Statistics & downloads:
    Abstract page:182
    Full-text PDF :102
    References:44
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024