OPTION PRICING UNDER THE KOBOL MODEL

DOI10.1017/S1446181118000196zbMath1405.91602OpenAlexW4246674198MaRDI QIDQ4556429

Wen-Ting Chen, Sha Lin

Publication date: 16 November 2018

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181118000196

zbMATH Keywords

option pricingfractional derivativefractional partial differential equationpure jump Lévy processKoBol process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Related Items (1)

Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Mellin transform analysis and integration by parts for Hadamard-type fractional integrals
• An explicit closed-form analytical solution for European options under the CGMY model
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

This page was built for publication: OPTION PRICING UNDER THE KOBOL MODEL