| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481063 | Physica A: Statistical Mechanics and its Applications | 2012 | 10 Pages |
Abstract
⺠We model the financial market based on fractional Brownian motion. ⺠We use the subdiffusive mechanism to describe the market with low transactions. ⺠The BS equation with transaction costs is derived in the continuous time setting. ⺠The corresponding BS formula and transaction costs are examined.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jun Wang, Jin-Rong Liang, Long-Jin Lv, Wei-Yuan Qiu, Fu-Yao Ren,