A COMPREHENSIVE STUDY OF OPTION PRICING WITH TRANSACTION COSTS. Issue 3 (22nd December 2022)

Record Type:: Journal Article
Title:: A COMPREHENSIVE STUDY OF OPTION PRICING WITH TRANSACTION COSTS. Issue 3 (22nd December 2022)
Main Title:: A COMPREHENSIVE STUDY OF OPTION PRICING WITH TRANSACTION COSTS
Authors:: YAN, DONG
Abstract:
Is Part Of:: Bulletin of the Australian Mathematical Society. Volume 106:Issue 3(2022)
Journal:: Bulletin of the Australian Mathematical Society
Issue:: Volume 106:Issue 3(2022)
Issue Display:: Volume 106, Issue 3 (2022)
Year:: 2022
Volume:: 106
Issue:: 3
Issue Sort Value:: 2022-0106-0003-0000
Page Start:: 522
Page End:: 524
Publication Date:: 2022-12-22
Subjects:: 91G20 -- 65N06
option pricing -- stochastic volatility -- transaction costs -- utility-based approach -- Hamilton–Jacobi–Bellman equation -- finite differences
Mathematics -- Societies, etc
Mathematics -- Periodicals
510.5
Journal URLs:: http://journals.cambridge.org/action/displayJournal?jid=BAZ ↗
DOI:: 10.1017/S0004972722000740 ↗
Languages:: English
ISSNs:: 0004-9727
Deposit Type:: Legaldeposit
View Content:: Available online (eLD content is only available in our Reading Rooms) ↗
Physical Locations:: British Library HMNTS - ELD Digital store
Ingest File:: 24330.xml