Geometric Brownian motion with tempered stable waiting times
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Publication:452033
DOI10.1007/S10955-012-0537-3zbMATH Open1248.91102OpenAlexW2124364599MaRDI QIDQ452033FDOQ452033
Janusz Gajda, Agnieszka Wyłomańska
Publication date: 19 September 2012
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-012-0537-3
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Derivative securities (option pricing, hedging, etc.) (91G20) Brownian motion (60J65) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
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- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
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- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- First Steps in Random Walks
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Subordination, self-similarity, and option pricing
- Geometric Brownian motion with tempered stable waiting times
Cited In (12)
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Stable continuous-time autoregressive process driven by stable subordinator
- Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
- Large deviations for a class of tempered subordinators and their inverse processes
- Trade duration risk in subdiffusive financial models
- Geometric Brownian motion with tempered stable waiting times
- On oscillations of the geometric Brownian motion with time-delayed drift
- Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator
- Tempered stable Lévy motion driven by stable subordinator
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- Stochastic modeling of currency exchange rates with novel validation techniques
- Modeling anomalous diffusion by a subordinated integrated Brownian motion
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