Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime |
scientific article |
Statements
Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (English)
0 references
2 March 2012
0 references
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.
0 references
fractional Fokker-Planck equation
0 references
Black-Scholes equation
0 references
anomalous diffusion
0 references
subordinated process
0 references
