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Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme.
Wen Li
Song Wang
Published in:
Comput. Math. Appl. (2017)
Keyphrases
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transaction costs
option pricing
stock price
stock exchange
financial markets
black scholes model
double exponential
stock market
portfolio selection
search costs
objective function
discrete random variables
dynamic pricing
portfolio management
financial crisis