首页 | 本学科首页   官方微博 | 高级检索  
文章检索
  按 检索   检索词:      
出版年份:   被引次数:   他引次数: 提示:输入*表示无穷大
  收费全文   2篇
  物理学   2篇
  2012年   1篇
  2011年   1篇
排序方式: 共有2条查询结果,搜索用时 15 毫秒
1
1.
In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0<α<1, here dX(τ)=μX(τ)(dτ)2H+σX(τ)dBH(τ), as a model of asset prices, which captures the subdiffusive characteristic of financial markets. We find the corresponding subdiffusive Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.  相似文献
2.
In this paper, a generalized diffusion model driven by the composite-subdiffusive fractional Brownian motion (FBM) is employed. Based on this stochastic process, we derive a fractional Fokker-Planck equation (FFPE) and obtain its solution. It is proved that the Generalized Einstein Relation (GER) and the Metzler and Klafter conjecture on the asymptotic behavior of stretched Gaussian hold the FFPE in a composite-subdiffusive regime.  相似文献
1
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号