Valuation of European options with stochastic interest rates and transaction costs

DOI10.1080/00207160.2021.1925114MaRDI QIDQ5063448zbMATH OpenOpenAlexFDO

Authors Jiling Cao, Biyuan Wang, Wenjun Zhang

Publication date 21 March 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2021.1925114

zbMATH Keywords

transaction costsEuropean optionHeston-CIR

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Approximate hedging problem with transaction costs in stochastic volatility markets
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Numerical Methods for Ordinary Differential Equations
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• On Leland's strategy of option pricing with transactions costs
• Option pricing with transaction costs and stochastic interest rate
• Stochastic calculus for finance. I: The binomial asset pricing model.
• The pricing of options and corporate liabilities

Cited in

(8)

• The modification of Black-Scholes option pricing model
• European Option Pricing with Transaction Costs
• scientific article; zbMATH DE number 5284193 (Why is no real title available?)
• European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
• Valuation of European continuous-installment options
• Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

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