Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561): Difference between revisions

The authors consider a generalization of the Black-Scholes model driven by anomalous diffusion. In particular, they consider what they call a composite-diffusive fractional Brownian motion driven by anomalous diffusion as a model of asset prices and discuss the corresponding fractional Fokker-Planck equation and Black-Scholes formula.

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reviewed by

Bassano Vacchini

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zbMATH Keywords

fractional Fokker-Planck equation

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Black-Scholes equation

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anomalous diffusion

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subordinated process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10955-011-0396-3

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cites work

Q5430704

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The Pricing of Options and Corporate Liabilities

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An actuarial approach to option pricing under the physical measure and without market assumptions

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Q5624436

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<i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

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FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion

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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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Stochastic modeling in nanoscale biophysics: subdiffusion within proteins

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Black-Scholes formula in subdiffusive regime

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

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Q4905685

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

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The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics

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Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

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The Fokker-Planck equation. Methods of solution and applications

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Option pricing in fractional Brownian markets

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Q3141895

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Q4937701

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Identifiers

zbMATH Open document ID

1245.82054

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DOI

10.1007/s10955-011-0396-3

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:664561

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+https://doi.org/10.1007/s10955-011-0396-3
+Normal rank
@@ Property / OpenAlex ID @@
+W2041281017
@@ Property / OpenAlex ID: W2041281017 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5430704
@@ Property / cites work: Q5430704 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+An actuarial approach to option pricing under the physical measure and without market assumptions
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+<i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
+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
+Normal rank
@@ Property / cites work @@
+Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
+Normal rank
@@ Property / cites work @@
+Black-Scholes formula in subdiffusive regime
@@ Property / cites work: Black-Scholes formula in subdiffusive regime / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The random walk's guide to anomalous diffusion: A fractional dynamics approach
+Normal rank
@@ Property / cites work @@
+The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
+Normal rank
@@ Property / cites work @@
+Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+The Fokker-Planck equation. Methods of solution and applications
+Normal rank
@@ Property / cites work @@
+Option pricing in fractional Brownian markets
@@ Property / cites work: Option pricing in fractional Brownian markets / rank @@
+Normal rank
@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank