Correlated continuous time random walk and option pricing (Q1619172): Difference between revisions

@@ Property / author @@
-Long-Jin Lv
@@ Property / author: Long-Jin Lv / rank @@
-Normal rank
@@ Property / author @@
-Jian-Bin Xiao
@@ Property / author: Jian-Bin Xiao / rank @@
-Normal rank
@@ Property / author @@
-Fu-Yao Ren
@@ Property / author: Fu-Yao Ren / rank @@
-Normal rank
@@ Property / author @@
+Long-Jin Lv
@@ Property / author: Long-Jin Lv / rank @@
+Normal rank
@@ Property / author @@
+Jian-Bin Xiao
@@ Property / author: Jian-Bin Xiao / rank @@
+Normal rank
@@ Property / author @@
+Fu-Yao Ren
@@ Property / author: Fu-Yao Ren / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.physa.2015.12.013
+Normal rank
@@ Property / OpenAlex ID @@
+W2198819394
@@ Property / OpenAlex ID: W2198819394 / rank @@
+Normal rank
@@ Property / cites work @@
+Random Walks on Lattices. II
@@ Property / cites work: Random Walks on Lattices. II / rank @@
+Normal rank
@@ Property / cites work @@
+The random walk's guide to anomalous diffusion: A fractional dynamics approach
+Normal rank
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+The non-random walk of stock prices: the long-term correlation between signs and sizes
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+Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics
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+Anomalous diffusion in correlated continuous time random walks
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+Correlated continuous time random walks: combining scale-invariance with long-range memory for spatial and temporal dynamics
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
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@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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+Discrete-time delta hedging and the Black-Scholes model with transaction costs
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+Option pricing with transaction costs using a Markov chain approximation
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+European option pricing with transaction costs in Lévy jump environment
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+Black-Scholes formula in subdiffusive regime
@@ Property / cites work: Black-Scholes formula in subdiffusive regime / rank @@
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@@ Property / cites work @@
+Option pricing in subdiffusive Bachelier model
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+Limit theorems for continuous-time random walks with infinite mean waiting times
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+Limit theorems for coupled continuous time random walks.
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+Answer to an open problem proposed by R Metzler and J Klafter
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+LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION
@@ Property / cites work: LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION / rank @@
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+Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
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