Option pricing in subdiffusive Bachelier model
DOI10.1007/S10955-011-0310-ZzbMATH Open1269.82053OpenAlexW2004721233MaRDI QIDQ650194FDOQ650194
Authors: Marcin Magdziarz, Sebastian Orzeł, Aleksander Weron 
Publication date: 25 November 2011
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-011-0310-z
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tempered stable distributionoption pricingsubdiffusionfractional Fokker-Planck equationBachelier modelinfinitely divisible distributionmodel of financial markets
Diffusion processes (60J60) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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Cited In (26)
- A fractional Fokker-Planck control framework for subdiffusion processes
- Black-Scholes model under subordination
- Correlated continuous time random walk and option pricing
- Pricing of basket options in subdiffusive fractional Black-Scholes model
- A subdiffusive stochastic volatility jump model
- Parameter estimation for one-sided heavy-tailed distributions
- Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
- Characterizing anomalous diffusion by studying displacements
- Fractional gamma and gamma-subordinated processes
- Black-Scholes formula in subdiffusive regime
- Pricing option with transaction costs under the subdiffusive Black-Scholes model
- Implied stopping rules for American basket options from Markovian projection
- Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- On modifications of the Bachelier model
- Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
- Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
- Option pricing under time interval driven model
- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Equivalence of subordinated processes with tempered \(\alpha\)-stable waiting times and fractional Fokker-Planck equations in space and time dependent fields
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Option pricing under the subordinated market models
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
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