Option pricing in subdiffusive Bachelier model (Q650194)
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scientific article; zbMATH DE number 5980372
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing in subdiffusive Bachelier model |
scientific article; zbMATH DE number 5980372 |
Statements
Option pricing in subdiffusive Bachelier model (English)
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25 November 2011
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subdiffusion
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fractional Fokker-Planck equation
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Bachelier model
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option pricing
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model of financial markets
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infinitely divisible distribution
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tempered stable distribution
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