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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)
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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}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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