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

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 9, 2011, Pages 1623-1634

  Wang, Xiao Tian ^a  

^a SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Anchoring adjustment; Delta hedging; Implied volatility smiles; Scaling; Transaction costs

Indexed keywords

ECONOMIC AND SOCIAL EFFECTS; ECONOMICS; FINANCIAL MARKETS;

ANCHORING ADJUSTMENTS; DELTA-HEDGING; IMPLIED VOLATILITY SMILE; SCALING; TRANSACTION COST;

COSTS;

EID: 79952075019     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.12.021     Document Type: Article

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