Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
The authors consider a generalization of the Black-Scholes model driven by anomalous diffusion. In particular, they consider what they call a composite-diffusive fractional Brownian motion driven by anomalous diffusion as a model of asset prices and discuss the corresponding fractional Fokker-Planck equation and Black-Scholes formula.
scientific article; zbMATH DE number 6010855
scientific article