Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

► A European call option pricing formula with transaction costs for the fractional Black-Scholes model is obtained. ► The time scaling δt and Hurst exponent H play an important role in option pricing with transaction costs. ► For H>12, the minimal price of an option under transaction costs is obtained.