Option pricing with transaction costs and stochastic volatility

In a realistic market with transaction costs, the option pricing problem is known to lead to solving nonlinear partial differential equations even in the simplest model. The nonlinear term in these partial differential equations (PDE) reflects the presence of transaction costs. In this article w...

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Bibliographic Details
Main Authors: Ionut Florescu, Maria C. Mariani, Indranil SenGupta
Format: Article
Language:English
Published: Texas State University 2014-07-01
Series:Electronic Journal of Differential Equations
Subjects:
Online Access:http://ejde.math.txstate.edu/Volumes/2014/165/abstr.html