American option valuation in a stochastic volatility model with transaction costs

DOI10.1080/17442508.2014.989525zbMath1321.93065OpenAlexW2059340050MaRDI QIDQ5265796

Andrea Cosso, Carlo Sgarra, Daniele Marazzina

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.989525

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilityAmerican optionstransaction costsviscosity solutionssingular stochastic optimal control problem

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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