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Pricing a European Basket Option in the Presence of Proportional Transaction Costs

✍ Scribed by Atkinson, C.; Alexandropoulos, C. A.

Book ID
115444307
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
606 KB
Volume
13
Category
Article
ISSN
1350-486X

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Scaling and long-range dependence in opt
Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model
✍ Xiao-Tian Wang; En-Hui Zhu; Ming-Ming Tang; Hai-Gang Yan πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 438 KB

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