Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561)
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scientific article; zbMATH DE number 6010855
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| English | Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime |
scientific article; zbMATH DE number 6010855 |
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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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0.8476520776748657
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0.8065890073776245
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0.7930254936218262
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0.7918235063552856
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0.7901966571807861
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