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