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]
@article{LiuC13-17,
title = {A closed-form approximation for the fractional Black-Scholes model with transaction costs},
author = {Hsuan-Ku Liu and Jui-Jane Chang},
year = {2013},
doi = {10.1016/j.camwa.2013.04.006},
url = {http://dx.doi.org/10.1016/j.camwa.2013.04.006},
researchr = {https://researchr.org/publication/LiuC13-17},
cites = {0},
citedby = {0},
journal = {Computers & Mathematics with Applications},
volume = {65},
number = {11},
pages = {1719-1726},
}