A Note on the Option Pricing with Transaction Costs and Stochastic Volatility

Author:

Cao Chong

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference34 articles.

1. Option pricing and replication with transaction costs;H E Leland;J Finance,1985

2. Hedging option portfolios in the presence of transaction costs;T Hoggard;Adv Futures Opt Res,1994

3. A closed-form solution for options with stochastic volatility with applications to bond and currency options;S L Heston;Review of Financial Studies,1993

4. FX smile in the Heston model;A Janek;Statistical tools for finance and insurance,2011

5. Empirical performance of alternative option pricing models;G Bakshi;J Finance,1997

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