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...

Full beskrivning

Sparad:
Bibliografiska uppgifter
I publikationen:Int Sch Res Notices
Huvudupphovsmän: Sun, Jiao-Jiao, Zhou, Shengwu, Zhang, Yan, Han, Miao, Wang, Fei
Materialtyp: Artigo
Språk:Inglês
Publicerad: Hindawi Publishing Corporation 2014
Ämnen:
Research Article
Länkar: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
Taggar: Lägg till en tagg
Inga taggar, Lägg till första taggen!

Liknande verk