α-subordinated Brownian motion self-financing delta-hedging strategy CAS MATHEMATICA option pricing with and without transaction costs modules
Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 25, No 1, (2015), 175p-182p
In this we suppose that the underlying of the option contract is driven by a subordinated geometric Brownian motion. Firstly, we investigate the case when there is no transaction cost during trading. We derive the pricing formula for a European option in this case. Then, we study the case with transaction costs. We apply the mean self-financing delta-hedging strategy. We develop α-subordinated Brownian motion and option pricing without transaction costs module via CAS MATHEMATICA. We obtain bounds for call and put options for various values of . Then we propose -subordinated Brownian motion and option pricing with and without transaction costs modules. 2010 Mathematics Subject Classification: 91B25, 91B24, 91B02, 34K50, 65M12, 65Y20.