Option pricing with transaction costs and stochastic volatility

MaRDI QIDQ2877652zbMATH OpenFDO

Authors Ionut Florescu, Indranil SenGupta, Maria C. Mariani

Publication date 25 August 2014

Published in Electronic Journal of Differential Equations (EJDE) (Search for Journal in Brave)

Full work available at URL http://www.emis.de/journals/EJDE/2014/165/abstr.html

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zbMATH Keywords

stochastic volatility modelsfinancial marketnonlinear PDEstransaction costs models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cited in

(23)

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• Analysis of the nonlinear option pricing model under variable transaction costs
• On reset option pricing in binomial market with both fixed and proportional transaction costs
• Option pricing with transaction costs and stochastic interest rate
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
• European option pricing under stochastic volatility jump-diffusion models with transaction cost
• Option pricing under stochastic volatility, jumps and cost of information
• European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
• On option pricing in binomial market with transaction costs
• OPTION PRICING WITH FEEDBACK EFFECTS
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• Path-dependent options and transaction costs
• 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
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• Computing option pricing models under transaction costs
• scientific article; zbMATH DE number 5008842 (Why is no real title available?)

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