@inproceedings{40c98edfe4b94bf0a1cfb0542eaa42e1,
title = "A homotopy analysis method for the option pricing PDE in illiquid markets",
abstract = "One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.",
keywords = "Options pricing, homotopy analysis method, illiquid markets",
author = "Youssef E-Khatib",
year = "2012",
doi = "10.1063/1.4756545",
language = "English",
isbn = "9780735410916",
series = "AIP Conference Proceedings",
number = "1",
pages = "1870--1873",
booktitle = "Numerical Analysis and Applied Mathematics, ICNAAM 2012 - International Conference of Numerical Analysis and Applied Mathematics",
edition = "1",
note = "International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2012 ; Conference date: 19-09-2012 Through 25-09-2012",
}