Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10481501 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠A European call option pricing formula with transaction costs is obtained.⺠The anchoring-adjustment behavior of investors and the reference point effect play an important role in option pricing.⺠The decision process influences decision outcome.⺠Option pricing is strongly influenced by the time scaling δt and Hurst exponent H.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Xiao-Tian Wang, Min Wu, Ze-Min Zhou, Wei-Shu Jing,