Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic Volatility Article

Mariani, Maria C, SenGupta, Indranil, Bezdek, Pavel. (2012). Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic Volatility . Acta Applicandae Mathematicae, 118(1), 203-220. 10.1007/s10440-012-9685-3

cited authors

  • Mariani, Maria C; SenGupta, Indranil; Bezdek, Pavel

sustainable development goals

authors

publication date

  • April 1, 2012

published in

keywords

  • Classical solution
  • Finite differences
  • Mathematics
  • Mathematics, Applied
  • Option pricing
  • Physical Sciences
  • Science & Technology
  • Stochastic volatility
  • Transaction costs

Digital Object Identifier (DOI)

start page

  • 203

end page

  • 220

volume

  • 118

issue

  • 1