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Fractional diffusion models of option prices in markets with jumps

Citations

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Cited by:

  1. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Fractional Dynamics of Natural Growth and Memory Effect in Economics," Papers 1612.09060, arXiv.org, revised Jan 2017.
  2. Azarnavid, Babak & Emamjomeh, Mahdi & Nabati, Mohammad, 2022. "A shooting like method based on the shifted Chebyshev polynomials for solving nonlinear fractional multi-point boundary value problem," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
  3. Haq, Sirajul & Hussain, Manzoor, 2018. "Selection of shape parameter in radial basis functions for solution of time-fractional Black–Scholes models," Applied Mathematics and Computation, Elsevier, vol. 335(C), pages 248-263.
  4. Torricelli, Lorenzo, 2020. "Trade duration risk in subdiffusive financial models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  5. Tomas Skovranek, 2019. "The Mittag-Leffler Fitting of the Phillips Curve," Mathematics, MDPI, vol. 7(7), pages 1-11, July.
  6. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Dynamic intersectoral models with power-law memory," Papers 1712.09087, arXiv.org.
  7. Ahmad Golbabai & Omid Nikan, 2020. "A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 119-141, January.
  8. Álvaro Cartea, 2013. "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
  9. Yi-Long Hsiao & Chien-Jung Ting, 2022. "Pricing Rent-to-Own Options with a Barrier Level: Taking Housing Contracts as an Example," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(5), pages 1-3.
  10. Saberi Zafarghandi, Fahimeh & Mohammadi, Maryam & Babolian, Esmail & Javadi, Shahnam, 2019. "Radial basis functions method for solving the fractional diffusion equations," Applied Mathematics and Computation, Elsevier, vol. 342(C), pages 224-246.
  11. Weiyuan Ma & Changpin Li & Jingwei Deng, 2019. "Synchronization in Tempered Fractional Complex Networks via Auxiliary System Approach," Complexity, Hindawi, vol. 2019, pages 1-12, November.
  12. Y. Esmaeelzade Aghdam & H. Mesgarani & A. Adl & B. Farnam, 2023. "The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 513-528, February.
  13. G. Fern'andez-Anaya & L. A. Quezada-T'ellez & B. Nu~nez-Zavala & D. Brun-Battistini, 2019. "Katugampola Generalized Conformal Derivative Approach to Inada Conditions and Solow-Swan Economic Growth Model," Papers 1907.00130, arXiv.org.
  14. Wenting Chen & Kai Du & Xinzi Qiu, 2017. "Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives," Papers 1701.01515, arXiv.org.
  15. Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
  16. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
  17. Luo, Wei-Hua & Gu, Xian-Ming & Yang, Liu & Meng, Jing, 2021. "A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 182(C), pages 1-24.
  18. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
  19. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Concept of dynamic memory in economics," Papers 1712.09088, arXiv.org.
  20. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Logistic map with memory from economic model," Papers 1712.09092, arXiv.org.
  21. Tarasova, Valentina V. & Tarasov, Vasily E., 2017. "Logistic map with memory from economic model," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 84-91.
  22. Tarasov, Vasily E. & Tarasova, Valentina V., 2018. "Macroeconomic models with long dynamic memory: Fractional calculus approach," Applied Mathematics and Computation, Elsevier, vol. 338(C), pages 466-486.
  23. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
  24. Lina Song, 2018. "A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market," Complexity, Hindawi, vol. 2018, pages 1-10, April.
  25. Ahmadian, D. & Ballestra, L.V. & Shokrollahi, F., 2022. "A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
  26. Jajarmi, Amin & Hajipour, Mojtaba & Baleanu, Dumitru, 2017. "New aspects of the adaptive synchronization and hyperchaos suppression of a financial model," Chaos, Solitons & Fractals, Elsevier, vol. 99(C), pages 285-296.
  27. Zhang, Meihui & Jia, Jinhong & Zheng, Xiangcheng, 2023. "Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  28. Xiao, Weilin & Zhang, Xili, 2016. "Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 219-238.
  29. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
  30. Ravi P. Agarwal & Snezhana Hristova & Donal O’Regan, 2023. "Inequalities for Riemann–Liouville-Type Fractional Derivatives of Convex Lyapunov Functions and Applications to Stability Theory," Mathematics, MDPI, vol. 11(18), pages 1-23, September.
  31. Reem Abdullah Aljedhi & Adem Kılıçman, 2020. "Fractional Partial Differential Equations Associated with L ê vy Stable Process," Mathematics, MDPI, vol. 8(4), pages 1-7, April.
  32. Aljethi, Reem Abdullah & Kılıçman, Adem, 2023. "Analysis of fractional differential equation and its application to realistic data," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).
  33. Yuanda Chen & Zailei Cheng & Haixu Wang, 2023. "Option Pricing for the Variance Gamma Model: A New Perspective," Papers 2306.10659, arXiv.org.
  34. Jean-Philippe Aguilar & Jan Korbel & Yuri Luchko, 2019. "Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations," Mathematics, MDPI, vol. 7(9), pages 1-23, September.
  35. Antoine Jacquier & Lorenzo Torricelli, 2019. "Anomalous diffusions in option prices: connecting trade duration and the volatility term structure," Papers 1908.03007, arXiv.org, revised Apr 2020.
  36. Ali Balcı, Mehmet, 2017. "Time fractional capital-induced labor migration model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 91-98.
  37. Zhang, H. & Liu, F. & Chen, S. & Anh, V. & Chen, J., 2018. "Fast numerical simulation of a new time-space fractional option pricing model governing European call option," Applied Mathematics and Computation, Elsevier, vol. 339(C), pages 186-198.
  38. H. Ghafouri & M. Ranjbar & A. Khani, 2020. "The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 695-709, December.
  39. Kim, Kyong-Hui & Kim, Nam-Ung & Ju, Dong-Chol & Ri, Ju-Hyang, 2020. "Efficient hedging currency options in fractional Brownian motion model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  40. Changhong Guo & Shaomei Fang & Yong He, 2023. "Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1681-1705, April.
  41. Lina Song, 2025. "Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 2205-2225, April.
  42. Jean-Philippe Aguilar & Jan Korbel & Nicolas Pesci, 2021. "On the Quantitative Properties of Some Market Models Involving Fractional Derivatives," Mathematics, MDPI, vol. 9(24), pages 1-24, December.
  43. Paula Morales-Bañuelos & Sebastian Elias Rodríguez Bojalil & Luis Alberto Quezada-Téllez & Guillermo Fernández-Anaya, 2025. "A General Conformable Black–Scholes Equation for Option Pricing," Mathematics, MDPI, vol. 13(10), pages 1-29, May.
  44. Vasily E. Tarasov & Valentina V. Tarasova, 2019. "Dynamic Keynesian Model of Economic Growth with Memory and Lag," Mathematics, MDPI, vol. 7(2), pages 1-17, February.
  45. Yan, Ruifang & He, Ying & Zuo, Qian, 2021. "A difference method with parallel nature for solving time-space fractional Black-Schole model," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
  46. Chen, Wen & Wang, Song, 2020. "A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 171(C), pages 279-293.
  47. Y. Esmaeelzade Aghdam & H. Mesgarani & A. Amin & J. F. Gómez-Aguilar, 2024. "An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 211-224, July.
  48. Chen, Wen & Wang, Song, 2017. "A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing," Applied Mathematics and Computation, Elsevier, vol. 305(C), pages 174-187.
  49. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Economic Accelerator with Memory: Discrete Time Approach," Papers 1612.07913, arXiv.org, revised Jul 2017.
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