Exact solutions of transaction cost nonlinear models for illiquid markets
Volume 23, Issue 3, pp 263--278
http://dx.doi.org/10.22436/jmcs.023.03.08
Publication Date: November 22, 2020
Submission Date: September 04, 2020
Revision Date: September 23, 2020
Accteptance Date: September 28, 2020
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Authors
Javed Hussain
- Department of Mathematics, Sukkur IBA University, airport road Sukkur, Sindh, Pakistan.
Abstract
The aim of this study is to show that the Reduced Differential Transform Algorithm (RDTA) can be applied to highly nonlinear evolution equations appearing in quantitative finance. In particular, we compute exact solutions of nonlinear PDEs arising by relaxing the transaction-cost assumption in the illiquid Black-Scholes market. Moreover, we also aim to study the impact of the absence and presence of price slippage impact in the illiquid Black-Scholes model with transaction-cost.
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ISRP Style
Javed Hussain, Exact solutions of transaction cost nonlinear models for illiquid markets, Journal of Mathematics and Computer Science, 23 (2021), no. 3, 263--278
AMA Style
Hussain Javed, Exact solutions of transaction cost nonlinear models for illiquid markets. J Math Comput SCI-JM. (2021); 23(3):263--278
Chicago/Turabian Style
Hussain, Javed. "Exact solutions of transaction cost nonlinear models for illiquid markets." Journal of Mathematics and Computer Science, 23, no. 3 (2021): 263--278
Keywords
- Option pricing
- relaxed Black-Scholes assumptions
- evolution equation
- differential transform
MSC
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