Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian-fractional Brownian model

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 3, 2010, Pages 445-451

  Wang, Xiao Tian ^a   Zhu, En Hui ^a   Tang, Ming Ming ^a   Yan, Hai Gang ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Delta hedging; Mixed Brownian fractional Brownian model; Option pricing; Scaling; Transaction costs

Indexed keywords

BROWNIAN MOVEMENT; COMMERCE; CONTINUOUS TIME SYSTEMS; ECONOMIC AND SOCIAL EFFECTS; FINANCIAL MARKETS;

BROWNIAN MODEL; DELTA-HEDGING; OPTION PRICING; SCALING; TRANSACTION COST;

COSTS;

EID: 70350572343     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.09.043     Document Type: Article

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