Pricing of basket options in subdiffusive fractional Black-Scholes model

DOI10.1016/j.chaos.2017.05.013zbMath1376.91160OpenAlexW2612427756MaRDI QIDQ1677776

Gulnur Karipova, Marcin Magdziarz

Publication date: 13 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.013

zbMATH Keywords

Black-Scholes modelstable processbasket optionssubdiffusion

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)

Related Items (4)

Pricing of financial derivatives based on the Tsallis statistical theory ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs ⋮ Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Ergodicity of the stochastic real Ginzburg-Landau equation driven by \(\alpha\)-stable noises
• Path Properties of Subdiffusion—A Martingale Approach
• Financial Modelling with Jump Processes
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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