European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

DOI10.1093/IMAMAT/HXU033zbMath1330.35460arXiv1211.4396OpenAlexW2167186883MaRDI QIDQ3467606

Carlo Sgarra, Marco Sammartino, Gaetana Gambino, Russel E. Caflisch

Publication date: 3 February 2016

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.4396

zbMATH Keywords

stochastic volatilityoption pricingasymptotic analysistransaction costs

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)

Related Items (4)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon ⋮ Optimal exercise of American puts with transaction costs under utility maximization

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