Nonlinear problems modeling stochastic volatility and transaction costs

DOI10.1080/14697688.2012.664944zbMath1278.91165OpenAlexW2094527578MaRDI QIDQ2873038

Indranil SenGupta, Maria Christina Mariani

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.664944

zbMATH Keywords

stochastic volatilityclassical solutiontransaction costHölder space

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Numerical solutions for option pricing models including transaction costs and stochastic volatility ⋮ Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Spectral analysis for a three-dimensional superradiance problem
• Differential operator related to the generalized superradiance integral equation
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• A uniqueness theorem for a class of non-classical parabolic equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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