Valuation of European options with stochastic interest rates and transaction costs
DOI10.1080/00207160.2021.1925114zbMATH Open1499.91134OpenAlexW3158159796MaRDI QIDQ5063448FDOQ5063448
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
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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)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Stochastic calculus for finance. I: The binomial asset pricing model.
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- On Leland's strategy of option pricing with transactions costs
- Numerical Methods for Ordinary Differential Equations
- Option pricing with transaction costs and stochastic interest rate
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- Approximate hedging problem with transaction costs in stochastic volatility markets
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
Cited In (8)
- The modification of Black-Scholes option pricing model
- European Option Pricing with Transaction Costs
- Title not available (Why is that?)
- 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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