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

被引：7

作者：

Mariani, Maria C. ^{[1
]}

Sengupta, Indranil ^{[2
]}

Sewell, Granville ^{[1
]}

机构：

[1] Univ Texas El Paso, Dept Math Sci, El Paso, TX 79968 USA

[2] N Dakota State Univ, Dept Math, Fargo, ND 58105 USA

来源：

QUANTITATIVE FINANCE | 2015年 / 15卷 / 08期

关键词：

Numerical algorithms; Nonlinear partial differential equations; Option pricing; REPLICATION;

D O I：

10.1080/14697688.2015.1032548

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1417 / 1424

页数：8

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