Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion.
Di PanShengwu ZhouYan ZhangMiao HanPublished in: J. Appl. Math. (2013)
Keyphrases
- transaction costs
- fractional brownian motion
- option pricing
- stock price
- stock exchange
- financial markets
- non stationary
- black scholes
- portfolio selection
- long range
- stock market
- long range dependence
- exchange rate
- financial time series
- financial data
- random fields
- historical data
- fractal dimension
- news articles
- black scholes model
- decision analysis
- autoregressive
- real option
- text mining
- long term
- pairwise
- case based reasoning