Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975): Difference between revisions

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-Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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+Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.cnsns.2021.105986
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+W3191918545
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q4845603
@@ Property / cites work: Q4845603 / rank @@
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+European Option Pricing with Transaction Costs
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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