Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion

The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option...

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Detalles Bibliográficos
Autores principales: Sun, Jiao-Jiao, Zhou, Shengwu, Zhang, Yan, Han, Miao, Wang, Fei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4897166/
https://www.ncbi.nlm.nih.gov/pubmed/27433525
http://dx.doi.org/10.1155/2014/746196

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4897166/
https://www.ncbi.nlm.nih.gov/pubmed/27433525
http://dx.doi.org/10.1155/2014/746196

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