Option Pricing with Transaction Costs and Stochastic Interest Rate

DOI10.1080/1350486X.2014.881263zbMath1395.91466MaRDI QIDQ4586314

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Publication date: 12 September 2018

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

zbMATH Keywords

option pricingclassical solutiontransaction costsstochastic interest rateparabolic PDE

Mathematics Subject Classification ID

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

Related Items (6)

Valuation of European options with stochastic interest rates and transaction costs ⋮ Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets ⋮ A generalized Goodwin business cycle model in random environment ⋮ European option pricing under stochastic volatility jump-diffusion models with transaction cost

Cites Work

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• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
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• A Theory of the Term Structure of Interest Rates
• A uniqueness theorem for a class of non-classical parabolic equations
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Path-dependent options and transaction costs
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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