scientific article

zbMath1492.91373MaRDI QIDQ2877652

Indranil SenGupta, Ionut Florescu, Maria Christina Mariani

Publication date: 25 August 2014

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

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

nonlinear PDEsstochastic volatility modelsfinancial markettransaction costs models

Mathematics Subject Classification ID

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

Related Items (4)

Option Pricing with Transaction Costs and Stochastic Interest Rate ⋮ Numerical methods applied to option pricing models with transaction costs and stochastic volatility ⋮ 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

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