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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Texas State University
2014-07-01
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| Series: | Electronic Journal of Differential Equations |
| Subjects: | |
| Online Access: | http://ejde.math.txstate.edu/Volumes/2014/165/abstr.html |