Continuous time Black–Scholes equation with transaction...

Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

Jun Wang, Jin-Rong Liang, Long-Jin Lv, Wei-Yuan Qiu, Fu-Yao Ren
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Volume:
391
Year:
2012
Language:
english
Pages:
10
DOI:
10.1016/j.physa.2011.09.008
File:
PDF, 316 KB
english, 2012
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