Subdiffusive option price model with inverse Gaussian subordinator
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Cites work
- Abstract Cauchy problems for the generalized fractional calculus
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Black-Scholes formula in subdiffusive regime
- Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
- Diffusion Equation and Stochastic Processes
- Finite element method for the space and time fractional Fokker-Planck equation
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- General fractional calculus, evolution equations, and renewal processes
- Inverse tempered stable subordinators
- Limit theorems for prices of options written on semi-Markov processes
- Option pricing and stochastic optimization
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Option pricing in subdiffusive Bachelier model
- Option pricing in time-changed Lévy models with compound Poisson jumps
- Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
- Student-like models for risky asset with dependence
- Tempered fractional calculus
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Time fractional equations and probabilistic representation
- Trade duration risk in subdiffusive financial models
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