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Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

✍ Scribed by Xiao-Tian Wang

Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 269 KB
Volume: 390
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2010.12.021

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