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
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)
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Cites Work
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