Numerical methods applied to option pricing models with transaction costs and stochastic volatility

DOI10.1080/14697688.2015.1032548zbMath1406.91485OpenAlexW1869547514MaRDI QIDQ4619506

Granville Sewell, Indranil SenGupta, Maria Christina Mariani

Publication date: 6 February 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1032548

zbMATH Keywords

option pricingnonlinear partial differential equationsnumerical algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (3)

Valuation of European options with stochastic interest rates and transaction costs ⋮ Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility ⋮ On Black–Scholes option pricing model with stochastic volatility: an information theoretic approach

Uses Software

• PDE2D

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Numerical solutions for option pricing models including transaction costs and stochastic volatility
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• Martingales and stochastic integrals in the theory of continuous trading
• On Leland's strategy of option pricing with transactions costs
• A general version of the fundamental theorem of asset pricing
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Path-dependent options and transaction costs
• The Numerical Solution of Ordinary and Partial Differential Equations

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