Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2009.09.043 ◽

2010 ◽

Vol 389 (3) ◽

pp. 445-451 ◽

Author(s):

Xiao-Tian Wang ◽

En-Hui Zhu ◽

Ming-Ming Tang ◽

Hai-Gang Yan

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Long Range Dependence ◽

European Option ◽

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Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2009.09.041 ◽

2010 ◽

Vol 389 (3) ◽

pp. 438-444 ◽

Author(s):

Xiao-Tian Wang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Long Range Dependence ◽

European Option ◽

Black Scholes Model ◽

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Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2010.12.021 ◽

2011 ◽

Vol 390 (9) ◽

pp. 1623-1634 ◽

Author(s):

Xiao-Tian Wang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Implied Volatility ◽

Long Range Dependence ◽

Black Scholes Model ◽

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Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2009.09.044 ◽

2010 ◽

Vol 389 (3) ◽

pp. 452-458 ◽

Author(s):

Xiao-Tian Wang ◽

Hai-Gang Yan ◽

Ming-Ming Tang ◽

En-Hui Zhu

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Long Range Dependence ◽

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Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2009.10.032 ◽

2010 ◽

Vol 389 (4) ◽

pp. 789-796 ◽

Author(s):

Xiao-Tian Wang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Long Range Dependence ◽

European Options ◽

Black Scholes Model ◽

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European option pricing problem with transaction costs in q-Gaussian process model

Applied Mathematical Sciences ◽

10.12988/ams.2021.914520 ◽

2021 ◽

Vol 15 (8) ◽

pp. 385-392

Author(s):

Li-Min Liu ◽

Yu-Lei Yan

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Gaussian Process ◽

Process Model ◽

European Option ◽

Gaussian Process Model ◽

European Option Pricing

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European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

IMA Journal of Applied Mathematics ◽

10.1093/imamat/hxu033 ◽

2014 ◽

Vol 80 (4) ◽

pp. 981-1008 ◽

Author(s):

R. E. Caflisch ◽

G. Gambino ◽

M. Sammartino ◽

C. Sgarra

Keyword(s):

Asymptotic Analysis ◽

Option Pricing ◽

Transaction Costs ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing

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European option pricing with transaction costs and trading restrictions

2010 2nd IEEE International Conference on Information Management and Engineering ◽

10.1109/icime.2010.5477876 ◽

2010 ◽

Author(s):

Xiaoqin Huang ◽

Xiaojie Liu

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

European Option ◽

European Option Pricing ◽

Trading Restrictions

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EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS

Stochastic Models ◽

10.1081/stm-100002064 ◽

2001 ◽

Vol 17 (2) ◽

pp. 215-245 ◽

Author(s):

Ajay Subramanian

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Short Selling ◽

European Option ◽

European Option Pricing

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Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs

Set Optimization and Applications - The State of the Art - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-662-48670-2_5 ◽

2015 ◽

pp. 159-176 ◽

Author(s):

Alet Roux ◽

Tomasz Zastawniak

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Vector Optimization ◽

European Option ◽

Proportional Transaction Costs ◽

Linear Vector ◽

European Option Pricing ◽

Linear Vector Optimization

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European Option Pricing under Bounded Uncertainty with Transaction Costs

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)57077-9 ◽

1999 ◽

Vol 32 (2) ◽

pp. 6308-6313

Author(s):

Lihui Zheng

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

European Option ◽

European Option Pricing ◽

Bounded Uncertainty

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