Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
© 2017 Elsevier Ltd 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) equation arising from pricing European options with proportional transaction costs and stochastic volatility. The HJB equation...
| Main Authors: | , |
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| Format: | Journal Article |
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Pergamon Press
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/56074 |