2 papers
q-fin.MF2025
Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model
Dong Yan, Ke Zhou, Zirun Wang +1
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting pro…
q-fin.MF2025
Pricing American options with exogenous and endogenous transaction costs
Dong Yan, Xin-Jie Huang, Guiyuan Ma +1
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mea…