Nonlinear problems modeling stochastic volatility and transaction costs
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
Recommendations
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general version of the fundamental theorem of asset pricing
- A uniqueness theorem for a class of non-classical parabolic equations
- Differential operator related to the generalized superradiance integral equation
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- Martingales and stochastic integrals in the theory of continuous trading
- Spectral analysis for a three-dimensional superradiance problem
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- The pricing of options and corporate liabilities
Cited in
(11)- Analysis of the nonlinear option pricing model under variable transaction costs
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
- Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE
- Option pricing with transaction costs and stochastic volatility
- Numerical solutions for option pricing models including transaction costs and stochastic volatility
- Option pricing with transaction costs and stochastic interest rate
- scientific article; zbMATH DE number 7174153 (Why is no real title available?)
- American option pricing under a two-factor stochastic volatility model with nonlinear exogenous costs
- Nonlinear PDE model for pricing European options with transaction costs under the 3/2 non-affine stochastic volatility model
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
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