Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme |
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Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (English)
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12 September 2017
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Hamilton-Jacobi-Bellman equation
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financial option valuation
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finite volume method
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penalty method
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convergence
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0.9332361
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0.92379785
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0.92364264
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0.9199703
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0.9153265
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0.9071748
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0.90180993
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