European option under a skew version of the GBM model with transaction costs by an RBF method

2021 ◽  
pp. 1-19
Author(s):  
Farnaz Farshadmoghadam ◽  
Ali Reza Najafi ◽  
Mohammad Reza Yaghouti
Keyword(s):  
Transaction Costs ◽  
European Option

scholarly journals Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets

2018 ◽  
Vol 2018 ◽  
pp. 1-8
Author(s):  
Lina Song ◽  
Kele Li
Keyword(s):  
Interest Rates ◽  
Transaction Costs ◽  
Estimation Methods ◽  
European Option ◽  
Stochastic Interest Rates ◽  
European Option Pricing ◽  
Stochastic Interest ◽  
Two Factors ◽  
Parameter Estimation Methods ◽  
Coupon Bond

This work deals with European option pricing problem in fractional Brownian markets. Two factors, stochastic interest rates and transaction costs, are taken into account. By the means of the hedging and replicating techniques, the new equations satisfied by zero-coupon bond and the nonlinear equation obeyed by European option are established in succession. Pricing formulas are derived by the variable substitution and the classical solution of the heat conduction equation. By the mathematical software and the parameter estimation methods, the results are reported and compared with the data from the financial market.

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