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
Option Pricing with Transaction Costs and Stochastic Interest Rate, Numerical methods applied to option pricing models with transaction costs and stochastic volatility, American option valuation in a stochastic volatility model with transaction costs, Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance, 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
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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