Calibration of the subdiffusive Black-scholes model

Acta Physica Polonica B

Volumn 41, Issue 5, 2010, Pages 1151-1159

  Orzel, Sebastian ^a   Weron, Aleksander ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

BLACK-SCHOLES FORMULA; BLACK-SCHOLES MODEL; GEOMETRIC BROWNIAN MOTION; MONTE CARLO APPROACH; SIMPLE METHOD; STOCK MARKET; STOCK PRICE; VOLATILITY PARAMETERS;

BROWNIAN MOVEMENT;

PHYSICS;

EID: 77955005329     PISSN: 05874254     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

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