Valuing options in shot noise market

DOI10.1016/J.PHYSA.2018.02.113zbMath1498.91451OpenAlexW2790353037WikidataQ130170335 ScholiaQ130170335MaRDI QIDQ2149143

Nick Laskin

Publication date: 28 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.113

zbMATH Keywords

option pricingGreen functionjump-diffusion processesBlack-Scholes equationshot noise

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Green's functions for elliptic equations (35J08)

Related Items (1)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

Cites Work

• The Pricing of Options and Corporate Liabilities
• Explosive Poisson shot noise processes with applications to risk reserves
• Technical Note—A Note on Shot-Noise and Reliability Modeling
• Non-Gaussian diffusion
• Dynamics of Markets
• Delay in claim settlement and ruin probability approximations
• Introduction to Econophysics
• Option pricing when underlying stock returns are discontinuous
• Mathematical Analysis of Random Noise
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