Option pricing in subdiffusive Bachelier model
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- Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
- Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
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KeywordsSubdiffusion; Fractional Fokker-Planck equation; Bachelier model; Option pricing; Infinitely divisible distribution; Tempered stable distribution;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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