کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10481063 933045 2012 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime
چکیده انگلیسی
► We model the financial market based on fractional Brownian motion. ► We use the subdiffusive mechanism to describe the market with low transactions. ► The BS equation with transaction costs is derived in the continuous time setting. ► The corresponding BS formula and transaction costs are examined.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 3, 1 February 2012, Pages 750-759
نویسندگان
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