Pricing option with transaction costs under the subdiffusive Black-Scholes model

GU Hui; ZHANG Yun-xiu

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Sep. 2012

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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.

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Pricing option with transaction costs under the subdiffusive Black-Scholes model

GU Hui¹,
ZHANG Yun-xiu^1,2

1.
Department of Mathematics, East China Normal University, Shanghai 200241, China;
2.
Department of Mathematics, Nanjing Forest University, Nanjing 210037, China

Received Date: 2011-10-01
Rev Recd Date: 2012-02-01
Publish Date: 2012-09-25

Abstract

Abstract

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.
- option pricing,
- transaction costs,
- subdiffusive dynamics

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References(1)

References

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