Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
B. F. Nteumagné, E. Pindza, E. Maré
| Year of publication: |
2014
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|---|---|
| Authors: | Nteumagné, B. F. ; Pindza, E. ; Maré, Eben |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 1, p. 35-46
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| Subject: | Jacobi Spectral Method | European Options | Fractional Black-Scholes Model | Mixed Brownian-Fractional Brownian Black-Scholes Model | Transaction Cost | Subdiffusive Franctional Black-Scholes Model | Scaling | Black-Scholes-Modell | Black-Scholes model | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010422895