Research Article
Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion
Table 1
Convergence for lookback put option with transaction cost in the fBm Process.
| | Number of time steps | 100 | 300 | 500 | 1000 | 2000 | 3000 | 4000 | 5000 |
| 0.6 | 2.6325 | 2.6281 | 2.6271 | 2.6264 | 2.6261 | 2.6259 | 2.6259 | 2.6258 | 0.7 | 2.5247 | 2.5186 | 2.5174 | 2.5164 | 2.5159 | 2.5158 | 2.5157 | 2.5157 | 0.8 | 2.4008 | 2.3940 | 2.3926 | 2.3916 | 2.3910 | 2.3909 | 2.3908 | 2.3907 | 0.9 | 2.2697 | 2.2625 | 2.2610 | 2.2599 | 2.2594 | 2.2592 | 2.2591 | 2.2590 |
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