Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
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Publication:5106795
DOI10.1080/00949655.2016.1218880OpenAlexW2501267962MaRDI QIDQ5106795
Publication date: 22 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2016.1218880
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee
- Option pricing in subdiffusive Bachelier model
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
- Black-Scholes formula in subdiffusive regime
- Option pricing under the Merton model of the short rate
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
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