Option pricing under the subordinated market models
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Publication:2073586
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A jump-diffusion model for option pricing
- A weighted finite difference method for subdiffusive Black-Scholes model
- An Intertemporal General Equilibrium Model of Asset Prices
- Answer to an open problem proposed by R Metzler and J Klafter
- Black-Scholes formula in subdiffusive regime
- Correlated continuous time random walk and option pricing
- Discrete-time delta hedging and the Black-Scholes model with transaction costs
- Empirical properties of asset returns: stylized facts and statistical issues
- European option pricing with transaction costs in Lévy jump environment
- Fractional Fokker-Planck equation with space and time dependent drift and diffusion
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Long memory processes and fractional integration in econometrics
- Modeling of financial processes with a space-time fractional diffusion equation of varying order
- Option pricing beyond Black-Scholes based on double-fractional diffusion
- Option pricing in subdiffusive Bachelier model
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- Solutions for a generalized fractional anomalous diffusion equation
- Stochastic solution of space-time fractional diffusion equations
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- The pricing of options and corporate liabilities
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
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- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(13)- Option pricing under the Merton model of the short rate
- Correlated continuous time random walk and option pricing
- Black-Scholes model under subordination
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- On an implementation of -subordinated Brownian motion and option pricing with and without transaction costs via CAS MATHEMATICA
- A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
- scientific article; zbMATH DE number 549090 (Why is no real title available?)
- European option pricing with stochastic volatility in sub-fractional Brownian motion environment
- scientific article; zbMATH DE number 7266443 (Why is no real title available?)
- Option pricing in some non-Lévy jump models
- Multiple subordinated modeling of asset returns: implications for option pricing
- Option pricing in subdiffusive Bachelier model
- Solving multi-dimensional fractional Black-Scholes model using deep learning
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