{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,17]],"date-time":"2026-04-17T18:14:34Z","timestamp":1776449674924,"version":"3.51.2"},"publisher-location":"Cham","reference-count":11,"publisher":"Springer International Publishing","isbn-type":[{"value":"9783030410315","type":"print"},{"value":"9783030410322","type":"electronic"}],"license":[{"start":{"date-parts":[[2020,1,1]],"date-time":"2020-01-01T00:00:00Z","timestamp":1577836800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2020]]},"DOI":"10.1007\/978-3-030-41032-2_67","type":"book-chapter","created":{"date-parts":[[2020,2,13]],"date-time":"2020-02-13T22:02:28Z","timestamp":1581631348000},"page":"584-592","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method"],"prefix":"10.1007","author":[{"given":"Miglena N.","family":"Koleva","sequence":"first","affiliation":[]},{"given":"Lubin G.","family":"Vulkov","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2020,2,13]]},"reference":[{"key":"67_CR1","doi-asserted-by":"publisher","first-page":"2659","DOI":"10.1016\/j.mcm.2011.06.049","volume":"54","author":"T Chernogorova","year":"2011","unstructured":"Chernogorova, T., Valkov, R.: Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing. Math. Comput. Model. 54, 2659\u20132671 (2011)","journal-title":"Math. Comput. Model."},{"issue":"2","key":"67_CR2","doi-asserted-by":"publisher","first-page":"152","DOI":"10.1002\/1098-2426(200103)17:2<152::AID-NUM5>3.0.CO;2-A","volume":"17","author":"A Gerisch","year":"2001","unstructured":"Gerisch, A., Griffiths, D.F., Weiner, R., Chaplain, M.A.J.: A Positive splitting method for mixed hyperbolic-parabolic systems. Numer. Meth. Part. Differ. Equat. 17(2), 152\u2013168 (2001)","journal-title":"Numer. Meth. Part. Differ. Equat."},{"key":"67_CR3","doi-asserted-by":"publisher","first-page":"348","DOI":"10.1016\/j.nonrwa.2018.03.006","volume":"43","author":"TB Gyulov","year":"2018","unstructured":"Gyulov, T.B., Vulkov, L.G.: Well posedness and comparison principle for option pricing with switching liquidity. Nonlinear Anal. Real World Appl. 43, 348\u2013361 (2018)","journal-title":"Nonlinear Anal. Real World Appl."},{"key":"67_CR4","series-title":"Springer Series in Computational Mathematics","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-09017-6","volume-title":"Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations","author":"W Hundsdorfer","year":"2003","unstructured":"Hundsdorfer, W., Verwer, J.: Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations. Springer Series in Computational Mathematics, vol. 33. Springer, Heidelberg (2003). https:\/\/doi.org\/10.1007\/978-3-662-09017-6"},{"key":"67_CR5","series-title":"Lecture Notes in Computer Science","doi-asserted-by":"publisher","first-page":"360","DOI":"10.1007\/978-3-319-26520-9_40","volume-title":"Large-Scale Scientific Computing","author":"MN Koleva","year":"2015","unstructured":"Koleva, M.N., Vulkov, L.G.: Fully implicit time-stepping schemes for a parabolic-ODE system of european options with liquidity shocks. In: Lirkov, I., Margenov, S.D., Wa\u015bniewski, J. (eds.) LSSC 2015. LNCS, vol. 9374, pp. 360\u2013368. Springer, Cham (2015). https:\/\/doi.org\/10.1007\/978-3-319-26520-9_40"},{"issue":"1","key":"67_CR6","doi-asserted-by":"publisher","first-page":"59","DOI":"10.1007\/s11075-016-0138-3","volume":"74","author":"M Koleva","year":"2017","unstructured":"Koleva, M., Mudzimbabwe, W., Vulkov, L.: Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model. Numer. Algorithms 74(1), 59\u201375 (2017)","journal-title":"Numer. Algorithms"},{"issue":"7","key":"67_CR7","doi-asserted-by":"publisher","first-page":"1350043","DOI":"10.1142\/S021902491350043X","volume":"16","author":"M Ludkovski","year":"2013","unstructured":"Ludkovski, M., Shen, Q.: European option pricing with liquidity shocks. Int. J. Theor. Appl. Finance 16(7), 1350043 (2013)","journal-title":"Int. J. Theor. Appl. Finance"},{"key":"67_CR8","doi-asserted-by":"publisher","first-page":"245","DOI":"10.1016\/j.cam.2015.11.049","volume":"299","author":"W Mudzimbabwe","year":"2016","unstructured":"Mudzimbabwe, W., Vulkov, L.: IMEX schemes for a parabolic-ODE system of European options with liquidity shocks. J. Comp. Appl. Math. 299, 245\u2013256 (2016)","journal-title":"J. Comp. Appl. Math."},{"issue":"1","key":"67_CR9","doi-asserted-by":"publisher","first-page":"61","DOI":"10.1007\/s11075-014-9838-8","volume":"68","author":"R Valkov","year":"2015","unstructured":"Valkov, R.: Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval. Numer. Algorithms 68(1), 61\u201380 (2015)","journal-title":"Numer. Algorithms"},{"key":"67_CR10","doi-asserted-by":"publisher","first-page":"699","DOI":"10.1093\/imanum\/24.4.699","volume":"24","author":"S Wang","year":"2004","unstructured":"Wang, S.: A novel fitted finite volume method for the Black-Sholes equation governing option pricing. IMA J. Numer. Anal. 24, 699\u2013720 (2004)","journal-title":"IMA J. Numer. Anal."},{"issue":"4","key":"67_CR11","doi-asserted-by":"publisher","first-page":"1190","DOI":"10.1002\/num.21941","volume":"31","author":"S Wang","year":"2014","unstructured":"Wang, S., Shang, S., Fang, Z.: A superconvergence fitted finite volume method for Black-Sholes equation governing European and American options. Numer. Meth. Part. Differ. Equ. 31(4), 1190\u20131208 (2014)","journal-title":"Numer. Meth. Part. Differ. Equ."}],"container-title":["Lecture Notes in Computer Science","Large-Scale Scientific Computing"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-030-41032-2_67","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,12,9]],"date-time":"2020-12-09T16:48:26Z","timestamp":1607532506000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-030-41032-2_67"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020]]},"ISBN":["9783030410315","9783030410322"],"references-count":11,"URL":"https:\/\/doi.org\/10.1007\/978-3-030-41032-2_67","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"value":"0302-9743","type":"print"},{"value":"1611-3349","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020]]},"assertion":[{"value":"13 February 2020","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}},{"value":"LSSC","order":1,"name":"conference_acronym","label":"Conference Acronym","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"International Conference on Large-Scale Scientific Computing","order":2,"name":"conference_name","label":"Conference Name","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Sozopol","order":3,"name":"conference_city","label":"Conference City","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Bulgaria","order":4,"name":"conference_country","label":"Conference Country","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"2019","order":5,"name":"conference_year","label":"Conference Year","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"10 June 2019","order":7,"name":"conference_start_date","label":"Conference Start Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"14 June 2019","order":8,"name":"conference_end_date","label":"Conference End Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"12","order":9,"name":"conference_number","label":"Conference Number","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"lssc2019","order":10,"name":"conference_id","label":"Conference ID","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"http:\/\/parallel.bas.bg\/Conferences\/SciCom19\/index.html","order":11,"name":"conference_url","label":"Conference URL","group":{"name":"ConferenceInfo","label":"Conference Information"}}]}}