Black-Scholes formula in subdiffusive regime
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Publication:841145
DOI10.1007/s10955-009-9791-4zbMath1173.82026MaRDI QIDQ841145
Publication date: 14 September 2009
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-009-9791-4
60J65: Brownian motion
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
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