European option pricing with transaction costs in Lévy jump environment
type: Item
instance of: scholarly article
title: European option pricing with transaction costs in Lévy jump environment
zbMATH Open document ID: 1406.91448
DOI: 10.1155/2014/513496
author: Huisheng Shu
author: Xiu Kan
author: Jiayin Li
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given. According to arbitrage-free principle, we first discretize the continuous-time model. Then, in each small time interval, the transaction costs are introduced. By using the \(\Delta\)-hedging strategy, the explicit solutions of the European options pricing formula with transaction costs are given for the risky asset price model with Lévy jump.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7022527
zbMATH Keywords: Lévy jump
zbMATH Keywords: European option pricing
zbMATH Keywords: \(\Delta\)-hedging strategy
Wikidata QID: Q59038999
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/513496
OpenAlex ID: W2078888653
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description: scientific article; zbMATH DE number 7022527