Black-Scholes model under subordination

DOI10.1016/S0378-4371(02)01372-9zbMath1010.91029arXiv1111.3263OpenAlexW3101795776MaRDI QIDQ1860811

Aleksander A. Stanislavsky

Publication date: 26 February 2003

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

Full work available at URL: https://arxiv.org/abs/1111.3263

zbMATH Keywords

Brownian motionstochastic time evolutionstock share price evolution

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (8)

Black-Scholes formula in subdiffusive regime ⋮ Heavy-tailed fractional Pearson diffusions ⋮ A subdiffusive stochastic volatility jump model ⋮ Fractional Pearson diffusions ⋮ Option pricing in subdiffusive Bachelier model ⋮ Continuous-time random walk and parametric subordination in fractional diffusion ⋮ Mellin convolution for subordinated stable processes ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Cites Work

• The Pricing of Options and Corporate Liabilities
• Fractional relaxation-oscillation and fractional diffusion-wave phenomena.
• The G and H Functions as Symmetrical Fourier Kernels
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Limit theorems for occupation times of Markov processes
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