Fractional Diffusion Models of Option Prices in Markets with Jumps
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- Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
References listed on IDEAS
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Keywords
Fractional-Black-Scholes; Levy-Stable processes; FMLS; KoBoL; CGMY; fractional calculus; Riemann-Liouville fractional derivative; barrier options; down-and-out; up-and-out; double knock-out.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2006-03-18 (Financial Markets)
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