Black-Scholes formula in subdiffusive regime (Q841145): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spatial gliding, temporal trapping, and anomalous transport / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subordinated market index models: A comparison / rank
 
Normal rank
Property / cites work
 
Property / cites work: Can one see \(\alpha\)-stable variables and processes? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic representation of subdiffusion processes with time-dependent drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Path Properties of Subdiffusion—A Martingale Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Langevin picture of subdiffusion with infinitely divisible waiting times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to Econophysics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic solution of space-time fractional diffusion equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The random walk's guide to anomalous diffusion: A fractional dynamics approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4350437 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Black-Scholes model under subordination / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two-time scale subordination in physical processes with long-term memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Chambers-Mallows-Stuck method for simulating skewed stable random variables / rank
 
Normal rank

Latest revision as of 00:00, 2 July 2024

scientific article
Language Label Description Also known as
English
Black-Scholes formula in subdiffusive regime
scientific article

    Statements

    Black-Scholes formula in subdiffusive regime (English)
    0 references
    0 references
    14 September 2009
    0 references
    subdiffusion
    0 references
    Black-Scholes formula
    0 references
    fractional Fokker-Planck equation
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references