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

DOI10.1155/2020/7168571zbMATH Open1459.91196OpenAlexW3012512120MaRDI QIDQ2183263FDOQ2183263

Luna Wang, Long-Jin Lv

Publication date: 26 May 2020

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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• A Jump-Diffusion Model for Option Pricing
• Long memory processes and fractional integration in econometrics
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Stochastic solution of space-time fractional diffusion equations
• Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
• Black-Scholes formula in subdiffusive regime
• The Fokker-Planck equation. Methods of solutions and applications.
• Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
• LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION
• Limit theorems for coupled continuous time random walks.
• Answer to an open problem proposed by R Metzler and J Klafter
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• Correlated continuous time random walk and option pricing
• Option pricing in subdiffusive Bachelier model
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion

Cited In (1)

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

Recommendations

• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• A new approach for option pricing under stochastic volatility 👍 👎
• A stochastic diffusion model of option prices and general jump process 👍 👎
• Pricing options under stochastic volatility jump model: a stable adaptive scheme 👍 👎
• A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization 👍 👎
• OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION 👍 👎
• A pricing option approach based on backward stochastic differential equation theory 👍 👎
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics 👍 👎

This page was built for publication: Option pricing based on modified advection-dispersion equation: stochastic representation and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2183263)