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

DOI10.1007/S10440-012-9685-3zbMATH Open1235.91182OpenAlexW2002313248MaRDI QIDQ411468FDOQ411468

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• A general version of the fundamental theorem of asset pricing
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options on assets with stochastic volatilities
• Nonlinear problems modeling stochastic volatility and transaction costs
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• Title not available (Why is that?)
• Spectral analysis for a three-dimensional superradiance problem
• Differential operator related to the generalized superradiance integral equation

Cited In (23)

• Numerical techniques for determining implied volatility in option pricing
• A hybrid method for pricing European options based on multiple assets with transaction costs
• Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
• American option valuation in a stochastic volatility model with transaction costs
• NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
• Title not available (Why is that?)
• Option pricing with transaction costs and stochastic interest rate
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
• 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
• 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
• Title not available (Why is that?)

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