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Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility.

Xiaoping LuSong-Ping ZhuDong Yan
Published in: Commun. Nonlinear Sci. Numer. Simul. (2021)
Keyphrases
  • high order
  • image processing
  • multiscale
  • evolutionary algorithm
  • long term
  • stochastic model
  • transaction costs
  • short term
  • hybrid model
  • portfolio selection