Main Article Content
We consider the problem of European option pricing in a market which experiences instances of liquidity and illiquidity. Our model of market liquidity takes the form of a regime-switching continuous Markov process. We study the investor's problem of maximising both terminal wealth and option payo whose solution is characterised by a semilinear coupled HJB equation. We present several numerical studies based on our model.
How to Cite
Mudzimbabwe, W. (2015). Numerical solution of a stochastic control problem of option pricing for a liquidity switching market. Acta Mathematica Universitatis Comenianae, 84(2), 219-228. Retrieved from http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/151/188