Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 3, 2010, Pages 452-458

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

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Fractional Brownian motion; Jump; Option pricing; Scaling; Transaction costs

Indexed keywords

ECONOMICS; FINANCIAL MARKETS;

FRACTIONAL BROWNIAN MOTION; JUMP; OPTION PRICING; SCALING; TRANSACTION COST;

COSTS;

EID: 70350574696     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.09.044     Document Type: Article

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