COMPARING OF SOME SENSITIVITIES (GREEKS) FOR NONLINEAR MODELS OF OPTION PRICING WITH MARKET ILLIQUIDITY
https://doi.org/10.25587/SVFU.2019.102.31514
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 Scho¨nbucher 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
При поддержке: The work was supported by the Russian Foundation of Basic Research, under grant 2019–01– 00244.
Об авторах
M. M. Dyshaev
Chelyabinsk State University, Scientific Research Department
Россия
Россия
Mikhail M. Dyshaev
Chelyabinsk State University, Scientific Research Department, 129, Br.Kashirins str., Chelyabinsk 454021, Russia
V. E. Fedorov
Chelyabinsk State University, Mathematical Analysis Department;
South Ural State University (National Research University), Laboratory of Functional Materials
Россия
Россия
Vladimir E. Fedorov
Chelyabinsk State University, Mathematical Analysis Department, 129, Br.Kashirins str., Chelyabinsk 454021, Russia;
South Ural State University (National Research University), Laboratory of Functional Materials, 76, Lenin Av., Chelyabinsk 454080, Russia
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Рецензия
Для цитирования:
Dyshaev M.M., Fedorov V.E. COMPARING OF SOME SENSITIVITIES (GREEKS) FOR NONLINEAR MODELS OF OPTION PRICING WITH MARKET ILLIQUIDITY. Математические заметки СВФУ. 2019;26(2):94-108. https://doi.org/10.25587/SVFU.2019.102.31514
For citation:
Dyshaev M.M., Fedorov V.E. COMPARING OF SOME SENSITIVITIES (GREEKS) FOR NONLINEAR MODELS OF OPTION PRICING WITH MARKET ILLIQUIDITY. Mathematical notes of NEFU. 2019;26(2):94-108. (In Russ.) https://doi.org/10.25587/SVFU.2019.102.31514
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