Nonlinear PDE model for pricing European options with transaction costs under the 3/2 non-affine stochastic volatility model.
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| Title: | Nonlinear PDE model for pricing European options with transaction costs under the 3/2 non-affine stochastic volatility model. |
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| Authors: | Tan, Jianguo1, tanjg@tju.edu.cn, Cao, Jiling2, jiling.cao@aut.ac.nz |
| Source: | Computers & Mathematics with Applications; Oct2025, Vol. 196, p246-262, 17p |
| Database: | Applied Science & Technology Source |
| ISSN: | 08981221 |
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| DOI: | 10.1016/j.camwa.2025.07.014 |
