This paper deals with the problem of discrete-time option pricing by the mixed Brownianfractional Brownian model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. In particular, the minimal pricing
โฆ LIBER โฆ
Option Pricing Model with Fuzzy Measures under Knightian Uncertainty
โ Scribed by Li-yan HAN; Juan ZHOU
- Publisher
- Elsevier
- Year
- 2007
- Weight
- 501 KB
- Volume
- 27
- Category
- Article
- ISSN
- 1874-8651
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