英文标题：
《The valuation of European option with transaction costs by mixed
fractional Merton model》
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作者：
Foad Shokrollahi
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最新提交年份：
2017
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英文摘要：
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. We also investigate the effect of the time-step $\\delta t$ and the Hurst parameter $H$ on our pricing option model, which reveals that these parameters have high impact on option pricing. The properties of this model are also explained.
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中文摘要：
本文利用具有交易费用的Merton模型的混合分数形式研究离散时间期权定价问题。通过离散时间条件下的平均自筹资金增量套期保值论证，得到了欧式看涨期权定价公式。我们还研究了时间步长$\\Δt$和赫斯特参数$\\ H$对我们的期权定价模型的影响，这表明这些参数对期权定价有很大影响。还解释了该模型的性质。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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