Mixed fractional Merton model to evaluate European options with transaction costs
Foad Shokrollahi
| Year of publication: |
2018
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|---|---|
| Authors: | Shokrollahi, Foad |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 4, p. 623-639
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| Subject: | Transaction Costs | Mixed Fractional Brownian Motion | European Option | Merton Model | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2018.84040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012016527