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Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations
16 references·0 citing·40 second hop
Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations (2019)Applications of the Fractional Diffusion …Social and juristic challenges of artificial intelligence (2019)Social and juristic challenge…Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application (2016)Fractional Calculus and Fract…Analytically pricing double barrier options based on a time-fractional Black–Scholes equation (2015)Analytically pricing double b…Pricing currency options in a fractional Brownian motion with jumps (2010)Pricing currency options in a…Option Pricing in a Fractional Brownian Motion Environment (2008)Option Pricing in a Fractiona…Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Fractional Diffusion Models o…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Option pricing under regime switching (2002)Option pricing under regime s…Fractional calculus and continuous-time finance (2000)Fractional calculus and conti…The variation of certain speculative prices (1997)The variation of certain spec…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Théorie de la spéculation (1900)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Waiting-times and returns in high-frequency financial data: an empirical study (2002)Multifractal analysis of financial markets: a review (2019)Multiple Wiener Integral (1951)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)A note on the use of fractional Brownian motion for financial modeling (2012)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Scaling behaviour in the dynamics of an economic index (1995)Introduction to Econophysics (1999)Option valuation using the fast Fourier transform (1999)Pricing currency options in the mixed fractional Brownian motion (2013)The numerical simulation of the tempered fractional Black–Scholes equation for European double barrier option (2016)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Stochastic skew in currency options☆ (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
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  • 2000Fractional calculus and continuous-time finance863 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2006Fractional Diffusion Models of Option Prices in Markets With Jumps355 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2019Social and juristic challenges of artificial intelligence186 cited
  • 2015Analytically pricing double barrier options based on a time-fractional Black–Scholes equation137 cited
  • 2002Option pricing under regime switching122 cited
  • 2008Option Pricing in a Fractional Brownian Motion Environment120 cited
  • 2016Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application96 cited

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  • 2010Pricing currency options in a fractional Brownian motion with jumps77 cited
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