Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
Year of publication: |
2014
|
---|---|
Authors: | Nteumagné, B. F. ; Pindza, E. ; Maré, E. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 1, p. 35-46
|
Subject: | Jacobi Spectral Method | European Options | Fractional Black-Scholes Model | Mixed Brownian-Fractional Brownian Black-Scholes Model | Transaction Cost | Subdiffusive Franctional Black-Scholes Model | Scaling | Black-Scholes-Modell | Black-Scholes model | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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