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Models with Transaction Cost for Pricing European Options and Hedging

Show simple item record Oyediran, Oyelami Benjamin 2018-08-01T05:35:19Z 2018-08-01T05:35:19Z 2016
dc.identifier.issn 2384-4795
dc.description.abstract In this paper models with transaction costs for pricing of European options using mixed fractional Brownian motion (fbm) and Partial differential equation (PDE) model are considered. Investigation on price sensitivity to volatility and formulation of asymptotic strategy for replicating self financing assets are also made. Simulation experiments for the models are run to obtain the call and put prices using fbm with Hurst parameter and the Crank-Nicolson method for the numerical solution to the PDE model. It is found that stock prices increase with time to maturity dates, whereas, the call prices decrease steadily as time approaches maturity dates in conformity with theta hedging strategy. en_US
dc.language.iso en en_US
dc.publisher University of Bahrain en_US
dc.rights Attribution-NonCommercial-ShareAlike 4.0 International *
dc.rights.uri *
dc.subject Simulation
dc.subject European option
dc.subject fractional Brownian motion
dc.subject stochastic volatility
dc.title Models with Transaction Cost for Pricing European Options and Hedging en_US
dc.type Article en_US
dc.volume 03
dc.issue 01
dc.source.title International Journal of Computational and Theoretical Statistics
dc.abbreviatedsourcetitle IJCTS

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