Scaling and long-range dependence in option pricing III: A...

Physica A: Statistical Mechanics and its Applications 2010 Vol. 389; Iss. 3

Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Xiao-Tian Wang, Hai-Gang Yan, Ming-Ming Tang, En-Hui Zhu
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Volume:
389
Year:
2010
Language:
english
Pages:
7
DOI:
10.1016/j.physa.2009.09.044
File:
PDF, 481 KB
english, 2010
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