Option pricing in subdiffusive Bachelier model
From MaRDI portal
Publication:650194
Recommendations
- Black-Scholes formula in subdiffusive regime
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Option pricing under the subordinated market models
- Monte-Carlo method for option pricing in sub-diffusive arithmetic models
- Pricing option with transaction costs under the subdiffusive Black-Scholes model
Cites work
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3097479 (Why is no real title available?)
- Black-Scholes formula in subdiffusive regime
- Black-Scholes model under subordination
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Can one see \(\alpha\)-stable variables and processes?
- Ergodic properties of anomalous diffusion processes
- Financial Modelling with Jump Processes
- Finite element method for the space and time fractional Fokker-Planck equation
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Louis Bachelier on the centenary of ``Théorie de la spéculation
- Martingale methods in financial modelling.
- On Information and Sufficiency
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
- Path properties of subdiffusion --- a martingale approach
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Subordination, self-similarity, and option pricing
- Suppressing anomalous diffusion by cooperation
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
- The pricing of options and corporate liabilities
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
Cited in
(26)- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Option pricing under the subordinated market models
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- A fractional Fokker-Planck control framework for subdiffusion processes
- Parameter estimation for one-sided heavy-tailed distributions
- Fractional gamma and gamma-subordinated processes
- Black-Scholes formula in subdiffusive regime
- Equivalence of subordinated processes with tempered \(\alpha\)-stable waiting times and fractional Fokker-Planck equations in space and time dependent fields
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
- A subdiffusive stochastic volatility jump model
- On modifications of the Bachelier model
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
- Implied stopping rules for American basket options from Markovian projection
- Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
- Characterizing anomalous diffusion by studying displacements
- Black-Scholes model under subordination
- Pricing option with transaction costs under the subdiffusive Black-Scholes model
- Correlated continuous time random walk and option pricing
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- Option pricing under time interval driven model
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications
This page was built for publication: Option pricing in subdiffusive Bachelier model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650194)
