title: Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model
Source:Physica A: Statistical Mechanics and its Applications, In Press, Corrected Proof, Available online 4 October 2009
authors: Xiao-Tian Wang, En-Hui Zhu, Ming-Ming Tang, Hai-Gang Yan