A comprehensive study of option pricing with transaction costs

Authors

  • D. Yan University of International Business and Economics

Keywords:

Option pricing, Stochastic volatility, Transaction costs, Utility-based approach, Hamilton-Jacobi-Bellman equation, Finite differences

Abstract

    http://dx.doi.org/10.1017/S0004972712000330

Published

2022-11-28

Issue

Section

Abstracts of PhD Theses