Time-changed geometric fractional Brownian motion and option pricing with transaction costs

descriptionPublicationkeyboard_double_arrow_right Article 01 Aug 2012 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 391, pages 3,971-3,977 (issn: 0378-4371,

Authors: Hui Gu; Yun-Xiu Zhang; Yun-Xiu Zhang; Jin-Rong Liang;

doi: 10.1016/j.physa.2012.03.020

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

- Summary
- Metrics

Abstract

Abstract This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black–Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.

Related Organizations

East China Normal University
China (People's Republic of)
Nanjing Forestry University
China (People's Republic of)

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	37
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%