Option pricing with transaction costs and stochastic volatility
zbMATH Open1492.91373MaRDI QIDQ2877652FDOQ2877652
Indranil SenGupta, Ionut Florescu, 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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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)
Cited In (15)
- European Option Pricing with Transaction Costs
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
- Option pricing for a large trader with price impact and liquidity costs
- 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
- 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
- On option pricing in binomial market with transaction costs
- OPTION PRICING WITH FEEDBACK EFFECTS
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- Path-dependent options and transaction costs
- Option Pricing with Transaction Costs and Stochastic Interest Rate
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
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- Computing option pricing models under transaction costs
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