A possible way of estimating options with stable distributed underlying asset prices

DOI10.1080/1350486042000190331zbMATH Open1101.91050OpenAlexW2098964858WikidataQ60171489 ScholiaQ60171489MaRDI QIDQ4650905

C. Tsibiridi, C. Atkinson

Publication date: 18 February 2005

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000190331

zbMATH Keywords

Stable distributions, fractional Taylor series, fractional Black-Scholes equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33)

Related Items (5)

Determining and benchmarking risk neutral distributions implied from option prices ⋮ COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS ⋮ DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS ⋮ Option pricing, maturity randomization and distributed computing ⋮ Option pricing for stable and infinitely divisible asset returns

Uses Software

• STABLE

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