Option Pricing Under the Heston-CIR Model with Stochastic Interest Rates and Transaction Costs
The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing formula for European options with the underlying price following a geometric Brownian motion. In a realistic market with transaction costs, the option pricing problem is known to lead to solving nonlin...
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| Format: | Others |
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Auckland University of Technology,
2019-10-17T21:09:32Z.
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| Online Access: | Get fulltext |