Ionut Florescu, Maria C. Mariani, Indranil SenGupta
Abstract: Submitted November 20, 2013. Published July 30, 2014.
Math Subject Classifications: 35R09, 91G20, 91G80.
Key Words: Stochastic volatility models; transaction costs models;
nonlinear PDEs; financial market.
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Ionut Florescu Financial Engineering Division and Hanlon Financial Systems Lab Stevens Institute of Technology Castle Point on Hudson Hoboken, NJ 07030, USA email: ifloresc@stevens.edu |
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Maria C. Mariani Department of Mathematical Sciences University of Texas at El Paso, Bell Hall 124 El Paso, TX 79968-0514, USA email: mcmariani@utep.edu |
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Indranil SenGupta Department of Mathematics North Dakota State University NDSU Dept # 2750, Minard Hall 408E12 Fargo, ND 58108-6050, USA email: indranil.sengupta@ndsu.edu |
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