American option valuation in a stochastic volatility model with transaction costs (Q5265796)
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scientific article; zbMATH DE number 6467398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American option valuation in a stochastic volatility model with transaction costs |
scientific article; zbMATH DE number 6467398 |
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American option valuation in a stochastic volatility model with transaction costs (English)
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29 July 2015
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American options
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transaction costs
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stochastic volatility
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singular stochastic optimal control problem
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Hamilton-Jacobi-Bellman equation
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viscosity solutions
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