Numerical solutions for option pricing models including transaction costs and stochastic volatility

DOI10.1007/S10440-012-9685-3MaRDI QIDQ411468zbMATH OpenOpenAlexFDO

Authors Indranil SenGupta, Pavel Bezdek, Maria C. Mariani

Publication date 4 April 2012

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-012-9685-3

zbMATH Keywords

option pricingstochastic volatilitytransaction costsfinite differencesclassical solution

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 5346226 (Why is no real title available?)
• scientific article; zbMATH DE number 5714028 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Differential operator related to the generalized superradiance integral equation
• Martingales and stochastic integrals in the theory of continuous trading
• Nonlinear problems modeling stochastic volatility and transaction costs
• Spectral analysis for a three-dimensional superradiance problem
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities

Cited in

(28)

• scientific article; zbMATH DE number 2156839 (Why is no real title available?)
• Numerical techniques for determining implied volatility in option pricing
• Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
• A hybrid method for pricing European options based on multiple assets with transaction costs
• Conditional expectation strategy under the long memory Heston stochastic volatility model
• American option valuation in a stochastic volatility model with transaction costs
• Alternating direction implicit method for approximation solution of the HCIR model, including transaction costs in a jump-diffusion model
• NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
• High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
• scientific article; zbMATH DE number 2160558 (Why is no real title available?)
• Option pricing with transaction costs and stochastic interest rate
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• 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
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
• A numerical method for European option pricing with transaction costs nonlinear equation
• Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
• Option pricing with transaction costs and stochastic volatility
• Nonlinear problems modeling stochastic volatility and transaction costs
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with 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
• Exact solutions and numerical simulation for Bakstein-Howison model
• SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)
• A logistic Black-Scholes partial differential equation with stochastic volatility, transaction costs and jumps
• Computing option pricing models under transaction costs

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