An accurate European option pricing model under fractional stable process based on Feynman path integral

DOI10.1016/j.physa.2017.11.120zbMath1493.91127OpenAlexW2771263691MaRDI QIDQ2150099

Chao Ma, Tiancheng Hou, Qing-Hua Ma, Haixiang Yao

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.11.120

zbMATH Keywords

path integralEuropean option pricingpath dependent optionsfractional stable process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Measure (Gaussian, cylindrical, etc.) and integrals (Feynman, path, Fresnel, etc.) on manifolds (46T12)

Related Items (3)

Pricing of financial derivatives based on the Tsallis statistical theory ⋮ The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists ⋮ Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation

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