Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1469-1480
This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained.