Valuing options in shot noise market

DOI10.1016/J.PHYSA.2018.02.113MaRDI QIDQ2149143zbMATH OpenOpenAlexWikidataFDO

Authors Nick Laskin

Publication date 28 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2018.02.113

zbMATH Keywords

option pricingGreen functionBlack-Scholes equationjump-diffusion processesshot noise

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Integro-partial differential equations (45K05) Green's functions for elliptic equations (35J08)

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Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1257656 (Why is no real title available?)
• scientific article; zbMATH DE number 939794 (Why is no real title available?)
• Delay in claim settlement and ruin probability approximations
• Dynamics of Markets
• Explosive Poisson shot noise processes with applications to risk reserves
• Introduction to Econophysics
• Mathematical Analysis of Random Noise
• Non-Gaussian diffusion
• Option pricing when underlying stock returns are discontinuous
• Technical Note—A Note on Shot-Noise and Reliability Modeling
• The pricing of options and corporate liabilities

Cited in

(3)

• Stochastic equations and equations for probabilistic characteristics of processes with damped jumps
• Shout options: A framework for pricing contracts which can be modified by the investor
• Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition

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