Option pricing in subdiffusive Bachelier model

DOI10.1007/s10955-011-0310-zzbMath1269.82053OpenAlexW2004721233MaRDI QIDQ650194

Sebastian Orzeł, Marcin Magdziarz, Aleksander Weron

Publication date: 25 November 2011

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-011-0310-z

zbMATH Keywords

option pricinginfinitely divisible distributionfractional Fokker-Planck equationsubdiffusiontempered stable distributionBachelier modelmodel of financial markets

Mathematics Subject Classification ID

Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Uses Software

• FODE

Cites Work

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