Numerical solutions for option pricing models including transaction costs and stochastic volatility
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Publication:411468
DOI10.1007/s10440-012-9685-3zbMath1235.91182MaRDI QIDQ411468
Pavel Bezdek, Indranil SenGupta, Maria Christina 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
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65N06: Finite difference methods for boundary value problems involving PDEs
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
Related Items
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Spectral analysis for a three-dimensional superradiance problem
- Differential operator related to the generalized superradiance integral equation
- Martingales and stochastic integrals in the theory of continuous trading
- A general version of the fundamental theorem of asset pricing
- Nonlinear problems modeling stochastic volatility and transaction costs
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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