Option pricing based on modified advection-dispersion equation: stochastic representation and applications

DOI10.1155/2020/7168571MaRDI QIDQ2183263zbMATH OpenOpenAlexFDO

Authors Luna Wang, Long-Jin Lv

Publication date 26 May 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/7168571

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

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Cited in

(1)

• Stochastic representation and Monte Carlo simulation for multiterm time-fractional diffusion equation

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