文章基本信息

标题：Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs
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作者：Foad Shokrollahi
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2018
卷号：08
期号：04
页码：623-639
DOI：10.4236/jmf.2018.84040
出版社：Scientific Research Publishing
摘要：This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton 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. We also investigate the effect of the time-step δt and the Hurst parameter H on our pricing option model, which reveals that these parameters have high impact on option pricing. The properties of this model are also explained.
关键词：Transaction Costs;Mixed Fractional Brownian Motion;European Option;Merton Model