A closed-form approximation for the fractional Black-Scholes model with transaction costs

DOI10.1016/j.camwa.2013.04.006zbMath1395.91458OpenAlexW2088098850MaRDI QIDQ2629413

Jui-Jane Chang, Hsuan-Ku Liu

Publication date: 6 July 2016

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2013.04.006

zbMATH Keywords

fractional Brownian motiontransaction costsoption valuationfractional Black-Scholes model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (9)

The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense ⋮ On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) ⋮ A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ A space-time fractional derivative model for European option pricing with transaction costs in fractal market ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Option pricing under time interval driven model ⋮ Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets

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