Black-Scholes formula in subdiffusive regime
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Publication:841145
DOI10.1007/s10955-009-9791-4zbMath1173.82026OpenAlexW1968898906MaRDI QIDQ841145
Publication date: 14 September 2009
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-009-9791-4
Brownian motion (60J65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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