Nonlinear problems modeling stochastic volatility and transaction costs
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.664944
Reference20 articles.
1. The Pricing of Options and Corporate Liabilities
2. A general version of the fundamental theorem of asset pricing
3. Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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1. A Note on the Option Pricing with Transaction Costs and Stochastic Volatility;SSRN Electronic Journal;2023
2. Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach;Chaos, Solitons & Fractals;2022-10
3. A COMPREHENSIVE STUDY OF OPTION PRICING WITH TRANSACTION COSTS;Bulletin of the Australian Mathematical Society;2022-08-22
4. Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility;Communications in Nonlinear Science and Numerical Simulation;2021-12
5. Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic Volatility;Acta Applicandae Mathematicae;2012-02-18
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