Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators
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References listed on IDEAS
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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- Foad Shokrollahi, 2017. "The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion," Papers 1712.05254, arXiv.org.
- 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.
More about this item
KeywordsBlack-Scholes model; alpha-stable distribution; time-changed Brownian motion; fractional Fokker–Planck equation; martingale measure;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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