Option pricing in subdiffusive Bachelier model (Q650194)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing in subdiffusive Bachelier model |
scientific article |
Statements
Option pricing in subdiffusive Bachelier model (English)
0 references
25 November 2011
0 references
subdiffusion
0 references
fractional Fokker-Planck equation
0 references
Bachelier model
0 references
option pricing
0 references
model of financial markets
0 references
infinitely divisible distribution
0 references
tempered stable distribution
0 references
