European option pricing under stochastic volatility jump-diffusion models with transaction cost

DOI10.1016/j.camwa.2019.12.001zbMath1435.91199OpenAlexW2996035708WikidataQ126532132 ScholiaQ126532132MaRDI QIDQ2308485

Haoyan Zhang, Yingxu Tian

Publication date: 3 April 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.12.001

zbMATH Keywords

stochastic volatilityoption pricingtransaction costsjump diffusionnonlinear PIDEpositions readjustment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Computational analysis of the behavior of stochastic volatility models with financial applications

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