Pricing of basket options in subdiffusive fractional Black–Scholes model
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DOI: 10.1016/j.chaos.2017.05.013
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Cited by:
- Zhao, Pan & Pan, Jian & Yue, Qin & Zhang, Jinbo, 2021. "Pricing of financial derivatives based on the Tsallis statistical theory," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
- Viktor Stojkoski & Trifce Sandev & Lasko Basnarkov & Ljupco Kocarev & Ralf Metzler, 2020. "Generalised geometric Brownian motion: Theory and applications to option pricing," Papers 2011.00312, arXiv.org.
- Ma, Pengcheng & Najafi, Alireza & Gomez-Aguilar, J.F., 2024. "Sub mixed fractional Brownian motion and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
- Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
- Soleymani, Fazlollah & Akgül, Ali, 2019. "Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 298-309.
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Keywords
Black–Scholes model; Subdiffusion; Basket options; Stable process;All these keywords.
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