Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime-Reference-Cited by-同舟云学术

Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

Published:2012-02 Issue:3 Volume:391 Page:750-759
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Wang Jun,Liang Jin-Rong,Lv Long-Jin,Qiu Wei-Yuan,Ren Fu-Yao

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference20 articles.

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2. Theory of rational option option pricing;Merton;Bell J. Econ.,1973

3. Option pricing and replication with transaction costs;Leland;J. Financ.,1985

4. S. Perrakis, J. Lefoll, Option pricing and replication with transaction costs and dividends, Research Paper No. 8, International Center for Financial Asset Management and Entineering.

5. Option replication in discrete time with transaction costs;Boyle;The Journal of Finance,1992

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