Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Foad Shokrollahi (Department of Mathematics, University Putra Malaysia (UPM), Adem Kılıçman (Department of Mathematics, University Putra Malaysia (UPM) and Marcin Magdziarz (Hugo Steinhaus Center, Department of Mathematics, Wrocław University of Technology, Wrocław, Poland)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Shokrollahi, Foad ; Kılıçman, Adem ; Magdziarz, Marcin |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-27
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| Subject: | Black-Scholes model | mixed fractional Brownian motion | inverse β-stable subordinator | subdiffusion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Transaktionskosten | Transaction costs | Black-Scholes-Modell | Devisenoption | Currency option |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011532750