Numerical solutions for option pricing models including transaction costs and stochastic volatility
DOI10.1007/S10440-012-9685-3zbMATH Open1235.91182OpenAlexW2002313248MaRDI QIDQ411468FDOQ411468
Pavel Bezdek, Maria C. Mariani, Indranil SenGupta
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
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
- Martingales and stochastic integrals in the theory of continuous trading
- Nonlinear problems modeling stochastic volatility and transaction costs
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- Spectral analysis for a three-dimensional superradiance problem
- Differential operator related to the generalized superradiance integral equation
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Cited In (12)
- Numerical techniques for determining implied volatility in option pricing
- American option valuation in a stochastic volatility model with transaction costs
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- 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.
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- Option Pricing with Transaction Costs and Stochastic Interest Rate
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)
- Computing option pricing models under transaction costs
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