European option pricing with transaction costs in Lévy jump environment

DOI10.1155/2014/513496zbMath1406.91448OpenAlexW2078888653WikidataQ59038999 ScholiaQ59038999MaRDI QIDQ1724293

Xiu Kan, Huisheng Shu, Jia-Yin Li

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/513496

zbMATH Keywords

European option pricing\(\Delta\)-hedging strategyLévy jump

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Correlated continuous time random walk and option pricing ⋮ Option pricing under the subordinated market models

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