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European option pricing with transaction costs and dividends under the long memory stochastic volatility model
Liu Qian #,Wang Xiaotian *
Department of Mathematics,South China University of Technology,510640
*Correspondence author
#Submitted by
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Funding: none
Opened online: 4 February 2013
Accepted by: none
Citation: Liu Qian,Wang Xiaotian.European option pricing with transaction costs and dividends under the long memory stochastic volatility model[OL]. [ 4 February 2013] http://en.paper.edu.cn/en_releasepaper/content/4512817
 
 
This paper deals with the problem of option pricing using the long memory stochastic volatility model with transaction costs and dividends. Through the 'anchoring and adjustment' argument, a European call option pricing formula is obtained. It has been shown that dividends and transaction costs play an important role in option pricing under the long memory stochastic volatility model.
Keywords:Anchoring-adjustment; dividends; delta-hedging; scaling; transaction costs
 
 
 

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