Trade duration risk in subdiffusive financial models
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Publication:2137643
DOI10.1016/J.PHYSA.2019.123694OpenAlexW2924702130WikidataQ126622860 ScholiaQ126622860MaRDI QIDQ2137643FDOQ2137643
Publication date: 16 May 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.123694
derivative pricingduration riskinverse tempered stable subordinatorsubdiffusionstempered subdiffusionsLévy processes
Cites Work
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- How Duration Between Trades of Underlying Securities Affects Option Prices*
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
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