Geodesic
Numerical solution of a stochastic control problem of option pricing for a liquidity switching market
Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 219-228 
Walter Mudzimbabwe; Walter Mudzimbabwe. Numerical solution of a stochastic control problem of option pricing for a liquidity switching market. Acta mathematica Universitatis Comenianae, Tome 84 (2015) no. 2, pp. 219-228. http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a3/
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     author = {Walter Mudzimbabwe and Walter Mudzimbabwe},
     title = { Numerical solution of a stochastic control problem of option pricing for a liquidity switching market},
     journal = {Acta mathematica Universitatis Comenianae},
     pages = {219--228},
     year = {2015},
     volume = {84},
     number = {2},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2015_84_2_a3/}
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Voir la notice de l'article provenant de la source Comenius University

We consider the problem of European option pricing in a market which experiences instances of liquidity and illiquidity. Our model of market liquidity takes the form of a regime-switching continuous Markov process. We study the investor's problem of maximising both terminal wealth and option payo whose solution is characterised by a semilinear coupled HJB equation. We present several numerical studies based on our model.