𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The pricing of options in a financial market model with transaction costs and uncertain volatility

✍ Scribed by Nikolai G Dokuchaev; Andrey V Savkin


Book ID
114340104
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
136 KB
Volume
8
Category
Article
ISSN
1042-444X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Scaling and long-range dependence in opt
✍ 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