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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(20)

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• European option pricing under stochastic volatility jump-diffusion models with transaction cost
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