Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The valuation of European option with transaction costs by mixed
  fractional Merton model   This paper deals with the problem of discrete-time option pricing by the
mixed fractional version of Merton model with transaction costs. By a
mean-self-financing delta hedging argument in a discrete-time setting, a
European call option pricing formula is obtained. We also investigate the
effect of the time-step $\delta t$ and the Hurst parameter $H$ on our pricing
option model, which reveals that these parameters have high impact on option
pricing. The properties of this model are also explained.

27
The categories of this paper are: comp-gas
12
The categories of this paper are: nucl-th
13
The categories of this paper are: quant-ph
9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
28
The categories of this paper are: alg-geom
6
The categories of this paper are: astro-ph
34
The categories of this paper are: chem-ph
24
The categories of this paper are: dg-ga
22
The categories of this paper are: chao-dyn
26
The categories of this paper are: bayes-an
31
The categories of this paper are: ao-sci
4
The categories of this paper are: cond-mat