The sub-fractional CEV model

DOI10.1016/j.physa.2021.125974OpenAlexW2998965431MaRDI QIDQ2068536

Axel A. Araneda, Nils Bertschinger

Publication date: 19 January 2022

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

Full work available at URL: https://arxiv.org/abs/2001.06412

zbMATH Keywords

option pricinglong-range dependenceCEV modeleconophysicssub-fractional Brownian motionsub-fractional Fokker-Planck

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Closed-form formula for conditional moments of generalized nonlinear drift CEV process ⋮ AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS

Uses Software

• DLMF

Cites Work

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