American option valuation in a stochastic volatility model with transaction costs

Stochastics ◽  
2015 ◽  
Vol 87 (3) ◽  
pp. 518-536 ◽  
Author(s):  
Andrea Cosso ◽  
Daniele Marazzina ◽  
Carlo Sgarra
Keyword(s):  
Transaction Costs ◽  
Stochastic Volatility ◽  
American Option ◽  
Stochastic Volatility Model ◽  
Option Valuation ◽  
Volatility Model

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
Sign in / Sign up

Export Citation Format

Share Document