Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
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Publication:2403848
DOI10.1016/j.camwa.2017.03.024zbMath1372.91119OpenAlexW2608982637MaRDI QIDQ2403848
Publication date: 12 September 2017
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2017.03.024
convergenceHamilton-Jacobi-Bellman equationfinite volume methodpenalty methodfinancial option valuation
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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