Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method

  • Miglena N. KolevaEmail author
  • Lubin G. Vulkov
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11958)


In the present paper, we construct a superconvergent fitted finite volume method (FFVM) for pricing European option with switching liquidity shocks. We investigate some basic properties of the numerical solution and establish superconvergence in maximal discrete norm. An efficient algorithm, governing the degeneracy and exponential non-linearity in the problem, is proposed. Results from various numerical experiments with different European options are provided.



This research is supported by the Bulgarian National Science Fund under Project DN 12/4 from 2017.


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© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.University of RuseRuseBulgaria

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