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Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model

Year: 2009

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2009.09.043

Authors: Xiao-Tian Wang, En-Hui Zhu, Ming-Ming Tang, Hai-Gang Yan

Institution: South China University of Technology

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1990148508

FWCI: 2.818

Cites: 27

Cited by: 43

Related to: 10