This article is cited in 2 papers

Mathematics

On some option pricing models on illiquid markets

M. M. Dyshaev

Chelyabinsk State University,Chelyabinsk, Russia

Abstract: This paper presents an overview of some options pricing mathematical models, namely the model of Sircar and Papanicolaou, and the model of Schönbucher and Wilmott. These models are interesting in that they take into account the feedback effects from the large traders operations on an illiquid market. The paper presents the basic assumptions and restrictions of the models. For each of the model a final equation are given describing the dynamics of the prices of the derivative financial instruments under simulated conditions.

Keywords: options pricing, Black — Scholes model, Sircar — Papanicolaou model, Schönbucher — Wilmott model, illiquid market, stochastic process, partial differential equation, initial boundary value problem.

UDC: 517.957,336.7

Received: 20.10.2016
Revised: 10.12.2016

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