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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Hindawi Publishing Corporation
2014
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| Materias: | |
| 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 |