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
Pages
12
From page
1469
To page
1480
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
Serial Year
2012
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1735126
Link To Document