A closed-form approximation for the fractional Black-Scholes model with transaction costs (Q2629413)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form approximation for the fractional Black-Scholes model with transaction costs |
scientific article |
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A closed-form approximation for the fractional Black-Scholes model with transaction costs (English)
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6 July 2016
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fractional Brownian motion
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fractional Black-Scholes model
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transaction costs
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option valuation
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