Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme

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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...

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Bibliographic Details
Main Authors:	Li, W., Wang, Song
Format:	Journal Article
Published:	Pergamon Press 2017
Online Access:	http://hdl.handle.net/20.500.11937/56074

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