Numerical solutions for option pricing models including transaction costs and stochastic volatility
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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
(23)- Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
- 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
- A logistic Black-Scholes partial differential equation with stochastic volatility, transaction costs and jumps
- scientific article; zbMATH DE number 2160558 (Why is no real title available?)
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Option pricing with transaction costs and stochastic interest rate
- A numerical method for European option pricing with transaction costs nonlinear equation
- Computing option pricing models under transaction costs
- American option valuation in a stochastic volatility model with transaction costs
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- European option pricing under stochastic volatility jump-diffusion models with transaction cost
- Nonlinear problems modeling stochastic volatility and transaction costs
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- A hybrid method for pricing European options based on multiple assets with transaction costs
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- Numerical techniques for determining implied volatility in option pricing
- Option pricing 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 computational method to price with transaction costs under the nonlinear Black-Scholes model
- scientific article; zbMATH DE number 2156839 (Why is no real title available?)
- Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
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