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International Journal of Computer Mathematics Volume 99, 2022 - Issue 2
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Special Section: International Conference on Computational Finance (ICCF) 2019

Valuation of European options with stochastic interest rates and transaction costs

Jiling CaoDepartment of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand
,
Biyuan WangDepartment of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand
&
Wenjun ZhangDepartment of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New ZealandCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-7992-8204
ORCID Icon
Pages 227-239 | Received 05 Dec 2019, Accepted 28 Sep 2020, Published online: 18 May 2021

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