Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation

DOI10.1016/J.CNSNS.2020.105345OpenAlexW3027039634MaRDI QIDQ2208163

Hazhir Aliahmadi, Hamid Khaloozadeh, Mahsan Tavakoli-Kakhki

Publication date: 23 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2020.105345

zbMATH Keywords

path integraloption pricingfractional calculuseconophysicsprice limit

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

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