Pricing Formula For European Option With Transaction Cost Under The Fractional Black-Scholes Model

Under the assuming of the stock price obeying the stochasticdic diferential equation driven by fractional Brownian motion, we establish the mathematical model for the financial market in fractional Brownian motion setting when the stock has dividend-paying and risk-free interest rate and dividends rate are the non-randomfunction. Using the fractional Brownian motion theory and the contingent claim pricing method, we obtain the general pricing formula for the European option with transaction costs. At the same time, we get the explicit expression for the European option price with transaction costs and the call-put parity.