Numerical solutions for option pricing models including transaction costs and stochastic volatility

DOI10.1007/s10440-012-9685-3zbMath1235.91182OpenAlexW2002313248MaRDI QIDQ411468

Pavel Bezdek, Indranil SenGupta, Maria Christina Mariani

Publication date: 4 April 2012

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-012-9685-3

zbMATH Keywords

stochastic volatilityoption pricingfinite differencesclassical solutiontransaction costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

Option Pricing with Transaction Costs and Stochastic Interest Rate ⋮ Numerical methods applied to option pricing models with transaction costs and stochastic volatility ⋮ Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility ⋮ Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process ⋮ European option pricing under stochastic volatility jump-diffusion models with transaction cost ⋮ American option valuation in a stochastic volatility model with transaction costs

Cites Work

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• 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
• Nonlinear problems modeling stochastic volatility and transaction costs
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

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