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Title: On an Implementation of α-Subordinated Brownian Motion and Option Pricing with and without Transaction Costs via CAS MATHEMATICA
Authors: Slavova, Angela
Kyrkchiev, Nikolay
Keywords: α-subordinated Brownian motion
self-financing delta-hedging strategy
option pricing with and without transaction costs modules
Issue Date: 2015
Publisher: Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Citation: Pliska Studia Mathematica Bulgarica, Vol. 25, No 1, (2015), 175p-182p
Abstract: 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.
Description: [Slavova Angela; Славова Анжела]; [Kyurkchiev Nikolay; Кюркчиев Николай]
ISSN: 0204-9805
Appears in Collections:2015 Volume 25

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