Fractional order stochastic differential equation with application in European option pricing
From MaRDI portal
Publication:2321458
Recommendations
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
- Option pricing under the fractional stochastic volatility model
- A semianalytical solution of the fractional derivative model and its application in financial market
- Option pricing theory for financial assets with memory
Cites work
- scientific article; zbMATH DE number 5209382 (Why is no real title available?)
- A copula-based correlation measure and its application in Chinese stock market
- A proof for French's empirical formula on option pricing.
- Computational algorithms for computing the fractional derivatives of functions
- FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Fractional-order systems and controls. Fundamentals and applications
- Long-Term Memory in Stock Market Prices
- Numerical comparison of methods for solving linear differential equations of fractional order
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
- Option pricing in fractional Brownian markets
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Ranking efficiency for emerging markets
- Stochastic differential equations with fractional Brownian motion input
- The effects of prior outcomes on risky choice: evidence from the stock market
- The pricing of options and corporate liabilities
Cited in
(20)- Stochastic P-bifurcation of a bistable viscoelastic beam with fractional constitutive relation under Gaussian white noise
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
- Fractional‐order dynamical model for electricity markets
- Proactive hedging European call option pricing with linear position strategy
- Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A new operator splitting method for American options under fractional Black-Scholes models
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
- Wellposedness and stability of fractional stochastic nonlinear heat equation in Hilbert space
- A novel algorithm for asymptotic stability analysis of some classes of stochastic time-fractional Volterra equations
- Vulnerable European call option pricing based on uncertain fractional differential equation
- scientific article; zbMATH DE number 6452524 (Why is no real title available?)
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- An analysis on the fractional asset flow differential equations
- Dynamic hedging based on fractional order stochastic model with memory effect
- Existence and stability results for Caputo fractional stochastic differential equations with Lévy noise
- Pricing of proactive hedging European option with dynamic discrete position strategy
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
This page was built for publication: Fractional order stochastic differential equation with application in European option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2321458)
