Pricing European option with transaction costs under the fractional long memory stochastic volatility model

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained.

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Year of publication:	2012
Authors:	Wang, Xiao-Tian ; Wu, Min ; Zhou, Ze-Min ; Jing, Wei-Shu
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 4, p. 1469-1480
Publisher:	Elsevier
Subject:	Anchoring-adjustment \| Reference point effect \| Delta-hedging \| Scaling \| Transaction costs

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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