Option pricing with transaction costs and stochastic interest rate

DOI10.1080/1350486X.2014.881263MaRDI QIDQ4586314zbMATH OpenFDO

Authors

Publication date 12 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2014.881263

zbMATH Keywords

classical solutionoption pricingparabolic PDEstochastic interest ratetransaction costs

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• European Option Pricing with Transaction Costs
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• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• On Leland's strategy of option pricing with transactions costs
• Option pricing with transaction costs and stochastic volatility
• Path-dependent options and transaction costs
• Paul Wilmott introduces quantitative finance. With CD-ROM
• Pricing interest-rate-derivative securities
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• The pricing of options and corporate liabilities

Cited in

(17)

• Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets
• Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
• On option pricing in binomial market with transaction costs
• European option pricing under stochastic volatility jump-diffusion models with transaction cost
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
• European option pricing with transaction costs.
• Nonlinear problems modeling stochastic volatility and transaction costs
• Option pricing with transaction costs and stochastic volatility
• scientific article; zbMATH DE number 5008842 (Why is no real title available?)
• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• scientific article; zbMATH DE number 1254189 (Why is no real title available?)
• Path-dependent options and transaction costs
• Valuation of European options with stochastic interest rates and transaction costs
• A generalized Goodwin business cycle model in random environment
• First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
• Alternating direction implicit method for approximation solution of the HCIR model, including transaction costs in a jump-diffusion model
• Computing option pricing models under transaction costs

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