Black-Scholes formula in subdiffusive regime (Q841145)

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Black-Scholes formula in subdiffusive regime (English)

Journal of Statistical Physics

14 September 2009

subdiffusion

Black-Scholes formula

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fractional Fokker-Planck equation

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10955-009-9791-4

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The Pricing of Options and Corporate Liabilities

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Financial Modelling with Jump Processes

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Spatial gliding, temporal trapping, and anomalous transport

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Subordinated market index models: A comparison

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Can one see \(\alpha\)-stable variables and processes?

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Stochastic representation of subdiffusion processes with time-dependent drift

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Path Properties of Subdiffusion—A Martingale Approach

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Langevin picture of subdiffusion with infinitely divisible waiting times

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Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series

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Introduction to Econophysics

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Stochastic solution of space-time fractional diffusion equations

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Q4905685

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The random walk's guide to anomalous diffusion: A fractional dynamics approach

Black-Scholes model under subordination

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Two-time scale subordination in physical processes with long-term memory

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On the Chambers-Mallows-Stuck method for simulating skewed stable random variables

Black-Scholes formula in subdiffusive regime (Q841145)

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