A possible way of estimating options with stable distributed underlying asset prices

DOI10.1080/1350486042000190331zbMATH Open1101.91050OpenAlexW2098964858WikidataQ60171489 ScholiaQ60171489MaRDI QIDQ4650905FDOQ4650905

Authors: C. Tsibiridi, C. Atkinson 

Publication date: 18 February 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000190331

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zbMATH Keywords

Stable distributions, fractional Taylor series, fractional Black-Scholes equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33)

Cited In (8)

• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• An accurate European option pricing model under fractional stable process based on Feynman path integral
• Option pricing, maturity randomization and distributed computing
• Option pricing for stable and infinitely divisible asset returns
• Determining and benchmarking risk neutral distributions implied from option prices
• DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS

Uses Software

• STABLE

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