Two approaches for option pricing under illiquidity

DOI10.18523/2617-70805202238-45MaRDI QIDQ6568627zbMATH OpenFDO

Authors V. J. Pauk, O. Petrenko, Nataliya Yu. Shchestyuk

Publication date 8 July 2024

Published in Mogylyans'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

zbMATH Keywords

hitting timesubordinatortrinomial tree modelsubdiffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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