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Pricing of basket options in subdiffusive fractional Black–Scholes model
9 references·1 citing·37 second hop
Pricing of basket options in subdiffusive fractional Black–Scholes model (2017)Pricing of basket options in subdiffusive…Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)Derivative formulas and gradi…Black-Scholes Formula in Subdiffusive Regime (2009)Black-Scholes Formula in Subd…Theory of rational option pricing (2005)Theory of rational option pri…An analysis of pricing methods for baskets options (2004)An analysis of pricing method…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Simulation and Chaotic Behaviour of α-Stable Stochastic Processes. (1995)Simulation and Chaotic Behavi…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Sub mixed fractional Brownian motion and its application to finance (2024)Sub mixed fractional Brownian…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)A Quick Algorithm for Pricing European Average Options (1991)Pricing European average rate currency options (1992)The value of an Asian option (1995)ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING (2011)The multivariate Variance Gamma model: basket option pricing and calibration (2015)Smoothing the payoff for efficient computation of Basket option prices (2017)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Integration and Differential Equations (2005)The Malliavin Calculus and Related Topics (2006)Gradient estimates for SDEs driven by multiplicative Lévy noise (2015)Davie's type uniqueness for a class of SDEs with jumps (2018)Bismut formula for Lions derivative of distribution-path dependent SDEs (2021)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Numerical solution of stochastic differential equations (2016)Volatility Is Rough (2018)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)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)Some properties of the sub-fractional Brownian motion (2006)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description (2011)Time averaging, ageing and delay analysis of financial time series (2017)Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing (2020)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)The Finite Moment Log Stable Process and Option Pricing (2003)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 1997Martingale Methods in Financial Modelling1,093 cited
  • 1995Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.289 cited
  • 2009Black-Scholes Formula in Subdiffusive Regime101 cited
  • 2012Derivative formulas and gradient estimates for SDEs driven by α -stable processes88 cited
  • 2004An analysis of pricing methods for baskets options45 cited

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  • 2024Sub mixed fractional Brownian motion and its application to finance17 cited

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