Time-changed geometric fractional Brownian motion and option pricing with transaction costs

被引：41
|
作者：
Gu, Hui [1 ]
Liang, Jin-Rong [1 ]
Zhang, Yun-Xiu [1 ,2 ]
机构：
[1] E China Normal Univ, Dept Math, Shanghai 200241, Peoples R China
[2] Nanjing Forest Univ, Dept Math, Nanjing 210037, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 15期
基金：
上海市自然科学基金;
关键词：
Option pricing; Transaction costs; Delta-hedging; Time-changed process; Inverse alpha-stable subordinator; BLACK-SCHOLES MODEL; ANOMALOUS DIFFUSION; FINANCIAL DATA; SUBDIFFUSION; ARBITRAGE; CALCULUS;
D O I：
10.1016/j.physa.2012.03.020
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：3971 / 3977
页数：7
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