Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model

By Xiao-Tian Wang, En-Hui Zhu, Ming-Ming Tang, Hai-Gang Yan. 2010

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a3e4641885a20353eda92993c71f5b8865c7c54b