American option valuation in a stochastic volatility model with transaction costs
DOI10.1080/17442508.2014.989525zbMath1321.93065OpenAlexW2059340050MaRDI QIDQ5265796
Andrea Cosso, Carlo Sgarra, Daniele Marazzina
Publication date: 29 July 2015
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.989525
Hamilton-Jacobi-Bellman equationstochastic volatilityAmerican optionstransaction costsviscosity solutionssingular stochastic optimal control problem
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)
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Cites Work
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