α-subordinated Brownian motion self-financing delta-hedging strategy CAS MATHEMATICA 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.
