Geodesic
Comparing of some sensitivities for nonlinear models comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity
Matematičeskie zametki SVFU, Tome 26 (2019) no. 2, pp. 94-108 Cet article a éte moissonné depuis la source Math-Net.Ru

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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.
Keywords: options pricing, nonlinear Black–Scholes type model, illiquid market, sensitivities (Greeks), numerical solution. 
@article{SVFU_2019_26_2_a7,
     author = {M. M. Dyshaev and V. E. Fedorov},
     title = {Comparing of some sensitivities for nonlinear models comparing of some sensitivities {(Greeks)} for nonlinear models of option pricing with market illiquidity},
     journal = {Matemati\v{c}eskie zametki SVFU},
     pages = {94--108},
     year = {2019},
     volume = {26},
     number = {2},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/SVFU_2019_26_2_a7/}
}
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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. Matematičeskie zametki SVFU, Tome 26 (2019) no. 2, pp. 94-108. http://geodesic.mathdoc.fr/item/SVFU_2019_26_2_a7/