European Option Pricing with Transaction Costs in Lévy Jump Environment
Joint Authors
Shu, Huisheng
Kan, Xiu
Li, Jiayin
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-27
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump.
By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given.
According to arbitrage-free principle, we first discretize the continuous-time model.
Then, in each small time interval, the transaction costs are introduced.
By using the Δ -hedging strategy, the explicit solutions of the European options pricing formula with transaction costs are given for the risky asset price model with Lévy jump.
American Psychological Association (APA)
Li, Jiayin& Shu, Huisheng& Kan, Xiu. 2014. European Option Pricing with Transaction Costs in Lévy Jump Environment. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-1014139
Modern Language Association (MLA)
Li, Jiayin…[et al.]. European Option Pricing with Transaction Costs in Lévy Jump Environment. Abstract and Applied Analysis No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-1014139
American Medical Association (AMA)
Li, Jiayin& Shu, Huisheng& Kan, Xiu. European Option Pricing with Transaction Costs in Lévy Jump Environment. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-1014139
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1014139