The Pricing of Options in a Nancial Market Model with Transaction Costs and Uncertain Volatility

  • A . V . Savkiny
  • Published 2007

Abstract

This paper introduces a nancial market model with transactions costs and uncertain volatility. This model is a modiication of the well-known Black-Scholes model. The solution to the problem of the pricing of the European call option is obtained by solving a nonlinear parabolic partial diierential equation. The presented option pricing formula relates the price of an option to the underlying asset price and the bounds of the volatility of the underlying asset.

Cite this paper

@inproceedings{Savkiny2007ThePO, title={The Pricing of Options in a Nancial Market Model with Transaction Costs and Uncertain Volatility}, author={A . V . Savkiny}, year={2007} }