Comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity

Abstract

We discuss the numerical solving of nonlinear options pricing models to a market with the insufficient liquidity. Also for these models the sensitivity coefficients of the option price (Greeks) were found numerically. These nonlinear models were selected by us on the basis of our group classification of a general model and were previously obtained in the works of Frey and Stremme, Sircar and Papanicolaou, and Schönbucher and Wilmott. The behavior of the price and its sensitivity coefficients in the nonlinear models and in the linear Black-Scholes model is compared. The results of the comparing presents in the form of graphs, a brief comparative analysis of them was made.