id	author	title	date	pages	extension	mime	words	sentence	flesch	summary	cache	txt
ejpam-5107	Sumalpong, Felipe Jr Raypan; Lauron, Eric G. 	European Call Option under Stochastic Interest Rate in a Fractional Brownian Motion with Transaction Cost	2024	12	.pdf	application/pdf	3223	176	80	This paper deals on the valuation of European call option price in a stochastic environ- ment by employing three factors which are the stochastic model of the asset value, the stochastic interest rate and the transaction cost. If the number of assets traded during the time interval [t, dt] is v, then E[|v|] = √ 2 π (dt)H (( ∂2V ∂X2 )2 σ2XX 2(t) + ( ∂2V ∂r∂X )2 σ2r + 2ρσXσrX(t) ∂2V ∂X2 ∂2V ∂r∂X ) 1 2 where V (t) is the option price, X(t) is the market price of the asset at time t, r(t) is the interest rate that follows the fractional Hull-White model with Hurst parameter H, σX is the volatility of the asset price, σr is the volatility of the interest rate and ρ is the correlation coefficient between the interest rate and the asset price.	cache/ejpam-5107.pdf	txt/ejpam-5107.txt