Valuation of European options with stochastic interest rates and ...
www.tandfonline.com › doi › full
In this paper, we consider the option pricing problem under a stochastic volatility model, called the Heston-CIR model, with transaction costs and stochastic ...
Sep 28, 2020 · In this paper, we further consider the problem of pricing European options under a stochastic interest rate and stochastic volatility model ...
In this paper, we further consider the problem of pricing European options under a stochastic interest rate and stochastic volatility model with transaction ...
People also ask
What is the pricing model for European options?
What are the transaction costs in Black Scholes?
What is stochastic volatility model for option pricing?
What is the stochastic interest rate model?
Aug 1, 2018 · This work deals with European option pricing problem in fractional Brownian markets. Two factors, stochastic interest rates and transaction ...
Key words, option pricing, Black-Scholes formula, transaction costs, utility maximisation, stochastic ... Finally, the mean growth rate a and the interest rate r ...
In this paper we propose a combination of a penalty method and a finite volume scheme for a four-dimensional time-dependent Hamilton–Jacobi–Bellman (HJB) ...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, stochastic interest rates and transaction costs, ...
Both in Figs 1 and 2, the strike price is K = 0.5, the risk-free interest rate is r = 0.07, the drift rate of the stock is α = 0.1, the risk aversion is γ ...
(2014) Option Pricing with Transaction Costs and Stochastic Interest Rate. ... Pricing of European Option ... Stochastic Volatility, European Option Pricing ...
Missing: Valuation | Show results with:Valuation
This work deals with European option pricing problem in fractional Brownian markets. Two factors, stochastic interest rates and transaction costs, ...
Missing: Valuation | Show results with:Valuation