Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
type: Item
instance of: scholarly article
title: Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
zbMATH Open document ID: 1245.82054
author: Jin-Rong Liang
author: Jun Wang
author: Long-Jin Lǔ
author: Hui Gu
author: Fuyao Ren
author: Weiyuan Qiu
published in: Journal of Statistical Physics
publication date: 2012-03-02T00:00:00Z
review text: 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.
reviewed by: Bassano Vacchini
Mathematics Subject Classification ID: 82C31
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 35Q84
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6010855
zbMATH Keywords: fractional Fokker-Planck equation
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: anomalous diffusion
zbMATH Keywords: subordinated process
MaRDI profile type: Publication
full work available at URL: s10955-011-0396-3
OpenAlex ID: W2041281017
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DOI: 10.1007/S10955-011-0396-3
description: scientific article; zbMATH DE number 6010855