Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
From MaRDI portal
Publication:5193257
DOI10.1080/25742558.2018.1470145zbMath1427.91280arXiv1612.06665OpenAlexW2806973695WikidataQ129741591 ScholiaQ129741591MaRDI QIDQ5193257
Publication date: 10 September 2019
Published in: Cogent Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.06665
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- Unnamed Item
- Stochastic representation of subdiffusion processes with time-dependent drift
- Black-Scholes formula in subdiffusive regime
- Discrete-time delta hedging and the Black-Scholes model with transaction costs
- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
- Arbitrage in fractional Brownian motion models
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- New and refined bounds for expected maxima of fractional Brownian motion
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Hedging in fractional Black-Scholes model with transaction costs
- Path Properties of Subdiffusion—A Martingale Approach
- On arbitrage and replication in the fractional Black–Scholes pricing model
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
This page was built for publication: Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
