Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-08-01
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This work deals with European option pricing problem in fractional Brownian markets.
Two factors, stochastic interest rates and transaction costs, are taken into account.
By the means of the hedging and replicating techniques, the new equations satisfied by zero-coupon bond and the nonlinear equation obeyed by European option are established in succession.
Pricing formulas are derived by the variable substitution and the classical solution of the heat conduction equation.
By the mathematical software and the parameter estimation methods, the results are reported and compared with the data from the financial market.
American Psychological Association (APA)
Song, Lina& Li, Kele. 2018. Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152761
Modern Language Association (MLA)
Song, Lina& Li, Kele. Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-8.
https://search.emarefa.net/detail/BIM-1152761
American Medical Association (AMA)
Song, Lina& Li, Kele. Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152761
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152761