Trade duration risk in subdiffusive financial models
From MaRDI portal
Publication:2137643
Cites work
- scientific article; zbMATH DE number 2015741 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 5035864 (Why is no real title available?)
- Applications of inverse tempered stable subordinators
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Black-Scholes formula in subdiffusive regime
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional kinetic equations: solutions and applications
- Geometric Brownian motion with tempered stable waiting times
- How Duration Between Trades of Underlying Securities Affects Option Prices*
- Inverse tempered stable subordinators
- On changes of measure in stochastic volatility models
- Semi-Markov approach to continuous time random walk limit processes
- Stochastic solution of space-time fractional diffusion equations
- The Econometrics of Ultra-high-frequency Data
- The fractional Poisson process and the inverse stable subordinator
- Time Change Representation of Stochastic Integrals
- Triangular array limits for continuous time random walks
- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(4)- Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach
- A subdiffusive stochastic volatility jump model
- Boundary control of a fractional reaction-diffusion equation coupled with fractional ordinary differential equations with delay
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
This page was built for publication: Trade duration risk in subdiffusive financial models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2137643)
