Valuation of European options with stochastic interest rates and transaction costs

DOI10.1080/00207160.2021.1925114zbMath1499.91134OpenAlexW3158159796MaRDI QIDQ5063448

Jiling Cao, Biyuan Wang, Wen-Jun Zhang

Publication date: 21 March 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2021.1925114

zbMATH Keywords

transaction costsEuropean optionHeston-CIR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Leland's strategy of option pricing with transactions costs
• Stochastic calculus for finance. I: The binomial asset pricing model.
• A Theory of the Term Structure of Interest Rates
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Option Pricing with Transaction Costs and Stochastic Interest Rate
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Numerical Methods for Ordinary Differential Equations

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