Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
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References listed on IDEAS
- Sebastian Orzel & Aleksander Weron, 2009. "Calibration of the subdiffusive Black–Scholes model," HSC Research Reports HSC/09/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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- Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011. "Option pricing in subdiffusive Bachelier model," HSC Research Reports HSC/11/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- Sokolov, I.M & Chechkin, A.V & Klafter, J, 2004. "Fractional diffusion equation for a power-law-truncated Lévy process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 245-251.
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KeywordsSubdiffusion; Tempered stable distribution; Calibration;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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