Work

Dynamic fund protection in markets with stochastic volatility and frictions: a double Heston model with transaction costs and its applications

Year: 2026

Type: article

Source: Quantitative Finance

DOI: 10.1080/14697688.2026.2720658

Authors: Shuhua Zhang, Yilin Cheng, Xinyu Wang, Shenghua Qian

Institutions: South China Agricultural University, Tianjin University of Finance and Economics, Zhujiang Hospital, Tianjin University of Finance and Economics Pearl River College

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W7221763344

FWCI:

Cites: 79

Cited by:

Related to: