OpenAlex | European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

Work

Year: 2014

Type: article

Abstract: In this paper, the valuation problem of a European call option in the presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean ... more

Source: IMA Journal of Applied Mathematics

Authors Russel E. Caflisch, G. Gambino, M. Sammartino, Carlo Sgarra

Institutions University of California, Los Angeles, University of Palermo, Politecnico di Milano

Cites: 21

Cited by: 8

Related to: 10

FWCI: 1.453

Citation percentile (by year/subfield): 83.85

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Sustainable Development Goal Partnerships for the goals

Open Access status: green