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

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Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
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    Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (English)
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    2 March 2012
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    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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    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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