English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE-based option pricing models can be described by solutions to the generalized Black–Scholes parabolic equation with a diffusion term nonlinearly depending on the option price itself. In this paper, different linearization techniques such as Newton's method and the analytic asymptotic approximation formula are adopted and compared for a wide class of nonlinear Black–Scholes equations including, in particular, the market illiquidity model and the risk-adjusted pricing model. Accuracy and time complexity of both numerical methods are compared. Furthermore, market quotes data was used to calibrate model parameters.

Comparison of the Analytical Approximation Formula and Newton's Method for Solving a Class of Nonlinear Black–Scholes Parabolic Equations