Option pricing based on modified advection-dispersion equation: stochastic representation and applications

DOI10.1155/2020/7168571zbMath1459.91196OpenAlexW3012512120MaRDI QIDQ2183263

Luna Wang, Long-Jin Lv

Publication date: 26 May 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/7168571

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (1)

Stochastic representation and Monte Carlo simulation for multiterm time-fractional diffusion equation

Cites Work

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