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Time-changed geometric fractional Brownian motion and option pricing with transaction costs
13 references·5 citing·37 second hop
Time-changed geometric fractional Brownian motion and option pricing with transaction costs (2012)Time-changed geometric fractional Brownia…Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description (2011)Subordinated α -stable Ornste…Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model (2009)Scaling and long-range depend…Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model (2009)Scaling and long range depend…Black-Scholes Formula in Subdiffusive Regime (2009)Black-Scholes Formula in Subd…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Fractional calculus and continuous-time finance (2000)Fractional calculus and conti…Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Fractional calculus and conti…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Simulation and Chaotic Behaviour of α-Stable Stochastic Processes. (1995)Simulation and Chaotic Behavi…Can One See $\alpha$-Stable Variables and Processes? (1994)Can One See $\alpha$-Stable V…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion (2018)The evaluation of geometric A…Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs (2016)Pricing European options and …Arbitrage with fractional Gaussian processes (2016)Arbitrage with fractional Gau…A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (2016)A very efficient approach for…Pricing European option under the time-changed mixed Brownian-fractional Brownian model (2014)Pricing European option under…Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Option Pricing in Subdiffusive Bachelier Model (2011)Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing (2020)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Continuous Martingales and Brownian Motion (1999)A note on Wick products and the fractional Black-Scholes model (2005)Stochastic Integration and Differential Equations (2005)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Théorie de la spéculation (1900)The Variation of Certain Speculative Prices (1963)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Waiting-times and returns in high-frequency financial data: an empirical study (2002)Multifractal analysis of financial markets: a review (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)13 Financial applications of stable distributions (1996)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Modeling Financial Data with Stable Distributions (2003)A simple robust estimation method for the thickness of heavy tails (1998)Stochastic origins of the long-range correlations of ionic current fluctuations in membrane channels (2001)Multi-scaling in finance (2007)
this work references cited by second hop

References

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  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2000Fractional calculus and continuous-time finance863 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Fractional calculus and continuous-time finance II: the waiting-time distribution520 cited
  • 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 1995Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.278 cited
  • 2009Black-Scholes Formula in Subdiffusive Regime101 cited
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  • 2009Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model57 cited
  • 2009Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model55 cited

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  • 2016A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion

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42 cited
  • 2014Pricing European option under the time-changed mixed Brownian-fractional Brownian model39 cited
  • 2016Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs29 cited
  • 2016Arbitrage with fractional Gaussian processes28 cited
  • 2018The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion25 cited