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

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 4, 2010, Pages 789-796

  Wang, Xiao Tian ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Delta hedging; Multifractional Black Scholes model; Option pricing; Scaling; Transaction costs

Indexed keywords

ECONOMIC AND SOCIAL EFFECTS; ECONOMICS; FINANCIAL MARKETS; INVESTMENTS; STOCHASTIC SYSTEMS;

BLACK-SCHOLES MODEL; DELTA-HEDGING; OPTION PRICING; SCALING; TRANSACTION COST;

COSTS;

EID: 71349085777     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.10.032     Document Type: Article

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