A closed-form approximation for the fractional Black-Scholes model with transaction costs

Hsuan-Ku Liu, Jui-Jane Chang. A closed-form approximation for the fractional Black-Scholes model with transaction costs. Computers & Mathematics with Applications, 65(11):1719-1726, 2013. [doi]

Authors

Hsuan-Ku Liu

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Jui-Jane Chang

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