American option valuation in a stochastic volatility model with transaction costs

DOI10.1080/17442508.2014.989525MaRDI QIDQ5265796zbMATH OpenOpenAlexFDO

Authors Andrea Cosso, Daniele Marazzina, Carlo Sgarra

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.989525

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilitytransaction costsviscosity solutionsAmerican optionssingular stochastic optimal control problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 852302
• Option pricing with transaction costs and stochastic volatility
• European Option Pricing with Transaction Costs
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
• Optimal exercise of American puts with transaction costs under utility maximization

Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A tree-based method to price American options in the Heston model
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Continuous-time stochastic control and optimization with financial applications
• European Option Pricing with Transaction Costs
• Multigrid for American option pricing with stochastic volatility
• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• Stock price distributions with stochastic volatility: an analytic approach
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach

Cited in

(9)

• Hedging of American options under transaction costs
• American option pricing under two stochastic volatility processes
• American option pricing under stochastic volatility: an empirical evaluation
• Valuation of American Call Option Considering Uncertain Volatility
• Optimal exercise of American puts with transaction costs under utility maximization
• Optimal harvesting under marine reserves and uncertain environment
• American call option with stochastic market model
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type

This page was built for publication: American option valuation in a stochastic volatility model with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265796)