In this paper the valuation problem of a European call option in presence ofboth stochastic volatility and transaction costs is considered. In the limit ofsmall transaction costs and fast mean reversion, an asymptotic expression forthe option price is obtained. While the dominant term in the expansion it isshown to be the classical Black and Scholes solution, the correction termsappear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedgingstrategy is then explicitly obtained for the Scott's model.
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机译：本文考虑了存在随机波动性和交易成本的欧式看涨期权的估值问题。在小额交易成本和均值快速回复的极限下，获得了期权价格的渐近表达式。尽管扩展项中的主要项显示为经典的Black and Scholes解，但校正项出现在$ O（\ varepsilon ^ {1/2}）$和$ O（\ varepsilon）$处。然后针对斯科特模型明确获得最佳套期保值策略。
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