Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs
Year of publication: |
2011
|
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Authors: | Wang, Xiao-Tian |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 9, p. 1623-1634
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Publisher: |
Elsevier |
Subject: | Anchoring adjustment | Delta hedging | Scaling | Implied volatility smiles | Transaction costs |
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