Numerical methods applied to option pricing models with transaction costs and stochastic volatility

Autor:	Maria C. Mariani, Granville Sewell, Indranil Sengupta
Rok vydání:	2015
Předmět:	Transaction cost Mathematical optimization Partial differential equation Stochastic volatility Differential equation Valuation of options Economics Finite difference methods for option pricing Black–Scholes model Implied volatility General Economics Econometrics and Finance Mathematical economics Finance
Zdroj:	Quantitative Finance. 15:1417-1424
ISSN:	1469-7696 1469-7688
DOI:	10.1080/14697688.2015.1032548
Popis:	In this paper, we solve a complex partial differential equation motivated by applications in finance where the solution of the system gives the price of European options, including transaction costs and stochastic volatility. The model is based on theoretical analysis, and the resulting differential equation is solved using PDE2D software. The stability analysis agrees well with experimental results.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e203fbea7187859e721a205e0bb1cdca https://doi.org/10.1080/14697688.2015.1032548 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.