Wen Li, Song Wang. Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme. Computers & Mathematics with Applications, 73(11):2454-2469, 2017. [doi]
@article{LiW17-17,
title = {Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme},
author = {Wen Li and Song Wang},
year = {2017},
doi = {10.1016/j.camwa.2017.03.024},
url = {https://doi.org/10.1016/j.camwa.2017.03.024},
researchr = {https://researchr.org/publication/LiW17-17},
cites = {0},
citedby = {0},
journal = {Computers & Mathematics with Applications},
volume = {73},
number = {11},
pages = {2454-2469},
}