Option Pricing with Transaction Costs under the Subdiffusive Mixed Fractional Brownian Motion

被引：1

作者：

Miao, Jie ^{[1
]}

机构：

[1] Guangdong Univ Educ, Math Dept, Guangzhou, Guangdong, Peoples R China

来源：

2020 3RD INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, MODELING AND SIMULATION | 2020年 / 1670卷

关键词：

ARBITRAGE;

D O I：

10.1088/1742-6596/1670/1/012045

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper probes into the issue of option pricing with transaction costs under the subdiffusive mixed fractional Brownian motion. Under reasonable economic assumptions, and by applying the strategy of the mean-self-financing delta hedging in the discrete-time setting, the generalized European call option pricing formula is further developed to capture the certain property of financial time series and better observe the law of finance market.

引用

页数：9

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