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Математическое моделирование
Comparing of some sensitivities for nonlinear models comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity
M. M. Dyshaeva, V. E. Fedorovbc a Chelyabinsk State University, Scientific Research Department, 129, Br. Kashirins str., Chelyabinsk 454021, Russia
b Chelyabinsk State University, Mathematical Analysis Department, 129, Br. Kashirins str., Chelyabinsk 454021, Russia
c South Ural State University (National Research University), Laboratory of Functional Materials, 76, Lenin Av., Chelyabinsk 454080, Russia
Аннотация:
We discuss the numerical solving of nonlinear options pricing models to a market with the insufficient liquidity. Also for these models, the sensitivity coefficients of the option price (Greeks) were found numerically. These nonlinear models were selected by us on the basis of our group classification of a general model and were previously obtained in the works of Frey and Stremme, Sircar and Papanicolaou, and Schönbucher and Wilmott. The behavior of the price and its sensitivity coefficients in the nonlinear models and in the linear Black–Scholes model is compared. The results of the comparing presents in the form of graphs, a brief comparative analysis of them was made.
Ключевые слова:
options pricing, nonlinear Black–Scholes type model, illiquid market, sensitivities (Greeks), numerical solution.
Поступила в редакцию: 17.05.2019 Исправленный вариант: 23.05.2019 Принята в печать: 03.06.2019
Образец цитирования:
M. M. Dyshaev, V. E. Fedorov, “Comparing of some sensitivities for nonlinear models comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity”, Математические заметки СВФУ, 26:2 (2019), 94–108
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/svfu255 https://www.mathnet.ru/rus/svfu/v26/i2/p94
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