Title of article :
Pricing European option with transaction costs under the fractional long memory stochastic volatility model
Author/Authors :
Wang، نويسنده , , Xiaotian and Wu، نويسنده , , Min and Zhou، نويسنده , , Ze-Min and Jing، نويسنده , , Wei-Shu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained.
Keywords :
Anchoring-adjustment , Reference point effect , Delta-hedging , Scaling , Transaction Costs
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications