A subdiffusive stochastic volatility jump model

DOI10.1080/14697688.2023.2199959zbMath1520.91401OpenAlexW4367673131MaRDI QIDQ6166218

Donatien Hainaut, Jean-Loup Dupret

Publication date: 2 August 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2199959

zbMATH Keywords

option pricingfractional Fokker-Planck equationssubdiffusionstochastic volatility jump modelilliquidity modeling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)

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