Correlated continuous time random walk and option pricing

DOI10.1016/j.physa.2015.12.013zbMath1400.91601OpenAlexW2198819394MaRDI QIDQ1619172

Liangzhong Fan, Fu-Yao Ren, Jian-Bin Xiao, Long-Jin Lv

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.013

zbMATH Keywords

option pricinganomalous diffusiontransaction costcorrelated continuous time random walk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Option pricing based on modified advection-dispersion equation: stochastic representation and applications, Option replication with transaction cost under Knightian uncertainty, Option pricing under the subordinated market models

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