Option Pricing in Subdiffusive Bachelier Model
Option Pricing in Subdiffusive Bachelier Model
About this item
Full title
Author / Creator
Publisher
Boston: Springer US
Journal title
Language
English
Formats
Publication information
Publisher
Boston: Springer US
Subjects
More information
Scope and Contents
Contents
The earliest model of stock prices based on Brownian diffusion is the Bachelier model. In this paper we propose an extension of the Bachelier model, which reflects the subdiffusive nature of the underlying asset dynamics. The subdiffusive property is manifested by the random (infinitely divisible) periods of time, during which the asset price does...
Alternative Titles
Full title
Option Pricing in Subdiffusive Bachelier Model
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_gale_infotracacademiconefile_A358630742
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_gale_infotracacademiconefile_A358630742
Other Identifiers
ISSN
0022-4715
E-ISSN
1572-9613
DOI
10.1007/s10955-011-0310-z
