Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (Q5144187)
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scientific article; zbMATH DE number 7296667
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure |
scientific article; zbMATH DE number 7296667 |
Statements
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (English)
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15 January 2021
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anomalous diffusions
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volatility skew term structure
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derivative pricing
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CTRWs
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inverse Lévy subordinators
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time changes
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Lévy processes
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subdiffusions
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beta distribution
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triangular arrays
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