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GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.
Citation:
GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.
GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.
Citation:
GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.
This paper dealt with the problem of discrete time option pricing by the subdiffusive Black-Scholes model with transaction costs. A subdiffusive geometric Brownian motion was introduced as the model of underlying asset prices exhibiting subdiffusive dynamics. In the presence of transaction costs, by a mean self-financing delta-hedging argument in a discrete time setting, a pricing formula for the European call option in discrete time
setting was obtained.
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