NDLI: Option Pricing with Transaction Costs under the Subdiffusive Mixed Fractional Brownian Motion

Content Provider	Scilit
Author	Miao, Jie
Copyright Year	2020
Description	Journal: Journal of Physics: Conference Series This paper probes into the issue of option pricing with transaction costs under the subdiffusive mixed fractional Brownian motion. Under reasonable economic assumptions, and by applying the strategy of the mean-self-financing delta hedging in the discrete-time setting, the generalized European call option pricing formula is further developed to capture the certain property of financial time series and better observe the law of finance market.
Related Links	https://iopscience.iop.org/article/10.1088/1742-6596/1670/1/012045/pdf
ISSN	17426588
e-ISSN	17426596
DOI	10.1088/1742-6596/1670/1/012045
Journal	Journal of Physics: Conference Series
Issue Number	1
Volume Number	1670
Language	English
Publisher	IOP Publishing
Publisher Date	2020-11-01
Access Restriction	Open
Subject Keyword	Journal: Journal of Physics: Conference Series
Content Type	Text
Resource Type	Article
Subject	Physics and Astronomy

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