Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets

DOI10.1155/2018/7056734zbMath1422.91722OpenAlexW2886755607WikidataQ129429577 ScholiaQ129429577MaRDI QIDQ1727210

Kele Li, Lina Song

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/7056734

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model

Cites Work

• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
• Increments and sample path properties of Gaussian processes
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• Pricing currency options in the mixed fractional Brownian motion
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• A note on Wick products and the fractional Black-Scholes model
• A closed-form approximation for the fractional Black-Scholes model with transaction costs
• On arbitrage and replication in the fractional Black–Scholes pricing model
• Option Pricing with Transaction Costs and Stochastic Interest Rate
• The Mathematics of Financial Derivatives
• The Structural Estimation of a Stochastic Differential Equation System
• Unnamed Item

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