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Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

✍ Scribed by Xiao-Tian Wang

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
511 KB
Volume
389
Category
Article
ISSN
0378-4371

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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 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 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