英文标题：
《Fractional delta hedging strategy for pricing currency options with
  transaction costs》
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作者：
Foad Shokrollahi
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最新提交年份：
2017
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英文摘要：
  This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula and the fractional partial differential equation for European call currency options are obtained by applying the delta-hedging strategy. Some Greeks and the estimator of volatility are also provided. The empirical studies and the simulation findings show that the fractional Black Scholes with transaction costs is a satisfactory model.
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中文摘要：
本文研究了离散时间环境下欧式货币期权的定价问题，其价格遵循分数Black-Scholes模型，且具有交易成本。应用delta套期保值策略，得到了欧式看涨期权的定价公式和分数阶偏微分方程。还提供了一些希腊语和波动率的估计值。实证研究和模拟结果表明，具有交易成本的分数Black-Scholes模型是一个令人满意的模型。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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