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Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model

Wang, Xiao-Tian; Zhu, En-Hui; Tang, Ming-Ming; Yan, Hai-Gang - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 3, pp. 445-451

This paper deals with the problem of discrete-time option pricing by the mixed Brownian–fractional Brownian model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. In particular, the minimal...

Persistent link: https://www.econbiz.de/10011064038

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

Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1469-1480

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.

Persistent link: https://www.econbiz.de/10010590799

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 15, pp. 3971-3977

This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black–Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the...

Persistent link: https://www.econbiz.de/10011058124

Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

Wang, Xiao-Tian - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 789-796

formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, we show that scaling and …

Persistent link: https://www.econbiz.de/10010588492

Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Wang, Xiao-Tian; Yan, Hai-Gang; Tang, Ming-Ming; Zhu, En-Hui - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 3, pp. 452-458

A model for option pricing of fractional version of the Merton model with ‘Hurst exponent’ H being in [1/2,1) is established with transaction costs. In particular, for H∈(1/2,1) the minimal price Cmin(t,St) of an option under transaction costs is obtained, which displays that the timestep...

Persistent link: https://www.econbiz.de/10011058111

Option pricing and portfolio hedging under the mixed hedging strategy

Wang, Xiao-Tian; Zhao, Zhong-Feng; Fang, Xiao-Fen - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 194-206

shown that scaling and residual risks as well as the mixed hedging strategy play an important role in option pricing and … portfolio hedging in a discrete time case. In particular, the relation between scaling (i.e., trading frequency) and portfolio …

Persistent link: https://www.econbiz.de/10011194064

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

Wang, Xiao-Tian - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1623-1634

scaling and implied volatility smiles is discussed. …

Persistent link: https://www.econbiz.de/10010589482

Phase transition and critical phenomenon in traffic flow model with velocity-dependent sensitivity

Nagatani, Takashi - In: Physica A: Statistical Mechanics and its Applications 253 (1998) 1, pp. 353-365

depend largely upon the sensitivity parameters. The scaling properties of the headway, the car velocity and the jam …’s propagation velocity are found near the critical point. It is shown that the scaling exponents are independent upon the velocity …

Persistent link: https://www.econbiz.de/10010599430

Edge scaling of soap froth

Szeto, K.Y.; Tam, W.Y. - In: Physica A: Statistical Mechanics and its Applications 254 (1998) 1, pp. 248-256

We investigate the scaling properties of the edge distribution of soap froth and compare it with the area scaling law …. The data collapse for edge scaling of cells belonging to the same topological class is explained by a harmonic expansion … of the energy of the froth with area–perimeter constraint. The edge-scaling hypothesis is found to be comparable to area …

Persistent link: https://www.econbiz.de/10010599450

Multifractal processes and self-organized criticality in the large-scale structure of the universe

Garrido, Pablo; Lovejoy, Shaun; Schertzer, Daniel - In: Physica A: Statistical Mechanics and its Applications 225 (1996) 3, pp. 294-311

In the past five to ten years mounting evidence has arisen indicating that the large-scale spatial number density of galaxies may be governed by fractal or multifractal statistics. In this paper we extend this idea by searching for multifractal behaviour in other density fields. Namely,...

Persistent link: https://www.econbiz.de/10010586430