Option pricing under the KoBol model

DOI10.1017/S1446181118000196MaRDI QIDQ4556429zbMATH OpenOpenAlexFDO

Authors Wen-Ting Chen, Sha Lin

Publication date 16 November 2018

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446181118000196

zbMATH Keywords

fractional derivativefractional partial differential equationKoBol processoption pricingpure jump Lévy process

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• An explicit closed-form analytical solution for European options under the CGMY model
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• scientific article; zbMATH DE number 3116984 (Why is no real title available?)
• scientific article; zbMATH DE number 1742902 (Why is no real title available?)
• scientific article; zbMATH DE number 3240629 (Why is no real title available?)
• Mellin transform analysis and integration by parts for Hadamard-type fractional integrals
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• The Variance Gamma Process and Option Pricing

Cited in

(6)

• An explicit closed-form analytical solution for European options under the CGMY model
• Numerical method for KoBol fractional option pricing model
• A second order numerical scheme for fractional option pricing models
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• Further development on Krasner-Vuković paragraded structures and p-adic interpolation of Yubo Jin L-values
• American call option pricing under the KoBoL model with Poisson jumps

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