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Cajueiro, D.O. and Tabak, B.M. (2007) Long-Range Dependence and Multifractality in the Term Structure of Libor Interest Rates. Physica A: Statistical Mechanics and Its Applications, 373, 603-614. https://doi.org/10.1016/j.physa.2006.04.110

has been cited by the following article:

• TITLE: Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs

  AUTHORS: Foad Shokrollahi

  KEYWORDS: Transaction Costs, Mixed Fractional Brownian Motion, European Option, Merton Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.4, November 7, 2018

  ABSTRACT: This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. We also investigate the effect of the time-step δt and the Hurst parameter H on our pricing option model, which reveals that these parameters have high impact on option pricing. The properties of this model are also explained.