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Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion
The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option...
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| Publicado no: | Int Sch Res Notices |
|---|---|
| Main Authors: | , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Publishing Corporation
2014
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4897166/ https://ncbi.nlm.nih.gov/pubmed/27433525 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1155/2014/746196 |
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