Tianjin University of Finance and Economics Pearl River College

Dynamic fund protection in markets with stochastic volatility and frictions: a double Heston model with transaction costs and its applications

This paper develops a pricing framework for Dynamic Fund Protection (DFP) contracts with lookback features under a double Heston stochastic volatility model with proportional transaction costs. The valuation leads to a multidimensional nonlinear partial differential equation (PDE...