گزینه های اروپایی قیمت گذاری با هزینه های معامله ای متناسب و نوسانات تصادفی با استفاده از روش مجازات و یک طرح حجم محدود

In this paper we propose a combination of a penalty method and a finite volume scheme for a four-dimensional time-dependent Hamilton–Jacobi–Bellman (HJB) equation arising from pricing European options with proportional transaction costs and stochastic volatility. The HJB equation is first approximated by a nonlinear partial differential equation containing penalty terms. A finite volume method along with an upwind technique is then developed for the spatial discretization of the nonlinear penalty equation. We show that the coefficient matrix of the discretized system is an M-matrix. An iterative method is proposed for solving the nonlinear algebraic system and a convergence theory is established for the iterative method. Numerical experiments are performed using a non-trivial model pricing problem and the numerical results demonstrate the usefulness of the proposed method.