Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
type: Item
instance of: scholarly article
title: Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
zbMATH Open document ID: 1422.91722
DOI: 10.1155/2018/7056734
author: Lina Song
author: Kele Li
published in: Discrete Dynamics in Nature and Society
publication date: 2019-02-20T00:00:00Z
review text: Summary: This work deals with European option pricing problem in fractional Brownian markets. Two factors, stochastic interest rates and transaction costs, are taken into account. By the means of the hedging and replicating techniques, the new equations satisfied by zero-coupon bond and the nonlinear equation obeyed by European option are established in succession. Pricing formulas are derived by the variable substitution and the classical solution of the heat conduction equation. By the mathematical software and the parameter estimation methods, the results are reported and compared with the data from the financial market.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 7026662
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/7056734
OpenAlex ID: W2886755607
cites work: A note on Wick products and the fractional Black-Scholes model
cites work: On arbitrage and replication in the fractional Black–Scholes pricing model
cites work: Option pricing of a mixed fractional-fractional version of the Black-Scholes model
cites work: Pricing currency options in the mixed fractional Brownian motion
cites work: A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
cites work: A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
cites work: Q3180882
cites work: A closed-form approximation for the fractional Black-Scholes model with transaction costs
cites work: Increments and sample path properties of Gaussian processes
cites work: The Mathematics of Financial Derivatives
cites work: Option Pricing with Transaction Costs and Stochastic Interest Rate
cites work: The Structural Estimation of a Stochastic Differential Equation System
Wikidata QID: Q129429577
description: scientific article; zbMATH DE number 7026662