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Ghasemifard, Azadeh, Banihashemi, Seddigheh, Babaei, Afshin. (1401). Option valuation in markets with finite liquidity under fractional CEV assets. سامانه مدیریت نشریات علمی, 2(2), 167-180. doi: 10.22054/jmmf.2023.15191
Azadeh Ghasemifard; Seddigheh Banihashemi; Afshin Babaei. "Option valuation in markets with finite liquidity under fractional CEV assets". سامانه مدیریت نشریات علمی, 2, 2, 1401, 167-180. doi: 10.22054/jmmf.2023.15191
Ghasemifard, Azadeh, Banihashemi, Seddigheh, Babaei, Afshin. (1401). 'Option valuation in markets with finite liquidity under fractional CEV assets', سامانه مدیریت نشریات علمی, 2(2), pp. 167-180. doi: 10.22054/jmmf.2023.15191
Ghasemifard, Azadeh, Banihashemi, Seddigheh, Babaei, Afshin. Option valuation in markets with finite liquidity under fractional CEV assets. سامانه مدیریت نشریات علمی, 1401; 2(2): 167-180. doi: 10.22054/jmmf.2023.15191

Option valuation in markets with finite liquidity under fractional CEV assets

Journal of Mathematics and Modeling in Finance
دوره 2، شماره 2، اسفند 2022، صفحه 167-180    اصل مقاله (330.5 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15191
نویسندگان
Azadeh Ghasemifard1؛ Seddigheh Banihashemi2؛ Afshin Babaei* 3
1University of Mazandaran
2Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran.
3Faculty of Mathematical sciences, University of Mazandaran, Babolsar, Iran.
چکیده
‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎. ‎Incorporating the price impact into the underlying asset dynamic‎, ‎which means that trading strategies affect the underlying price‎, ‎we consider markets with finite liquidity‎. ‎We survey both cases of first-order feedback and full feedback‎. ‎Asset evolution satisfies a stochastic differential equation with fractional noise‎, ‎which is more realistic in markets with statistical dependence‎. ‎Moreover‎, ‎the Sinc-collocation method is used to price the option‎. ‎Numerical experiments show that the results highly correspond to our expectation of illiquid markets‎.
کلیدواژه‌ها
Option pricing؛ Iliquid market؛ Sinc collocation method؛ Price impact&lrm
مراجع
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[9] H. Takahasi, M. Mori, Double exponential formulas for numerical integration, Publications of the Research Institute for Mathematical Sciences 9 (3) (1974) 721-741.
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[12] A. Babaei, H. Jafari, S. Banihashemi, A numerical scheme to solve a class of two-dimensional nonlinear time-fractional diffusion equations of distributed order, Engineering with Computers (2020) 1-13.

 

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