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Pricing of basket options in subdiffusive fractional Black–Scholes model · Study

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ArticlePricing of basket options in subdiffusive fractional Black–Scholes model

Gulnur Karipova2017

Article2017

Pricing of basket options in subdiffusive fractional Black–Scholes model

Gulnur Karipova · Marcin Magdziarz

23 citations·0/0 files stored·Chaos Solitons & Fractals

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1999Continuous Martingales and Brownian Motion 1997Martingale Methods in Financial Modelling 1995Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.2009Black-Scholes Formula in Subdiffusive Regime 2012Derivative formulas and gradient estimates for SDEs driven by α -stable processes

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2024Sub mixed fractional Brownian motion and its application to finance

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Year2017

Typearticle

Published2017-05-11

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.chaos.2017.05.013

openalex_workW2612427756

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