Option pricing in subdiffusive Bachelier model (Q650194): Difference between revisions

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+https://doi.org/10.1007/s10955-011-0310-z
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+W2004721233
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+Tempered stable Lévy motion and transient super-diffusion
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+Q4888858
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+The Pricing of Options and Corporate Liabilities
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+Financial Modelling with Jump Processes
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+Louis Bachelier on the Centenary of Theorie de la Speculation
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+Finite Element Method for the Space and Time Fractional Fokker–Planck Equation
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+Suppressing anomalous diffusion by cooperation
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+Subordination, self-similarity, and option pricing
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+Can one see \(\alpha\)-stable variables and processes?
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+On Information and Sufficiency
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+Langevin picture of subdiffusion with infinitely divisible waiting times
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+Black-Scholes formula in subdiffusive regime
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+Path Properties of Subdiffusion—A Martingale Approach
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+Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
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+The random walk's guide to anomalous diffusion: A fractional dynamics approach
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+Martingale methods in financial modelling.
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+Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
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+Tempering stable processes
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+Q4301585
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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+Black-Scholes model under subordination
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+On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
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+Ergodic properties of anomalous diffusion processes
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