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has been cited by the following article:

• TITLE: Pricing Bermudan Option with Variable Transaction Costs under the Information-Based Model

  AUTHORS: Matabel Odin, Jane Akinyi Aduda, Cyprian Ondieki Omari

  KEYWORDS: Bermudan Option, Information-Based Model, Variable Costs, Bellman Equation, Viscosity Solutions

  JOURNAL NAME: Open Journal of Statistics, Vol.12 No.5, October 10, 2022

  ABSTRACT: The Bermudan option pricing problem with variable transaction costs is considered for a risky asset whose price process is derived under the information-based model. The price is formulated as the value function of an optimal stopping problem, which is the value function of a stochastic control problem given by a non-linear second order partial differential equation. The theory of viscosity solutions is applied to solve the stochastic control problem such that the value function is also the solution of the corresponding Bellman equation. Under some regularity assumptions, the existence and uniqueness of the solution of the pricing equation are derived by the application of the Perron method and Banach Fixed Point theorem.