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

Mariani, Maria C, Sengupta, Indranil, Sewell, Granville. (2015). Numerical methods applied to option pricing models with transaction costs and stochastic volatility . QUANTITATIVE FINANCE, 15(8), 1417-1424. 10.1080/14697688.2015.1032548

cited authors

  • Mariani, Maria C; Sengupta, Indranil; Sewell, Granville

sustainable development goals

authors

publication date

  • August 3, 2015

published in

keywords

  • Business & Economics
  • Business, Finance
  • Economics
  • Mathematical Methods In Social Sciences
  • Mathematics
  • Mathematics, Interdisciplinary Applications
  • Nonlinear partial differential equations
  • Numerical algorithms
  • Option pricing
  • Physical Sciences
  • REPLICATION
  • Science & Technology
  • Social Sciences
  • Social Sciences, Mathematical Methods

Digital Object Identifier (DOI)

publisher

  • ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

start page

  • 1417

end page

  • 1424

volume

  • 15

issue

  • 8