Anomalous dynamics of black-scholes model time-changed by inverse subordinators

Acta Physica Polonica B

Volumn 43, Issue 5, 2012, Pages 1093-1110

  Magdziarz, Marcin ^a   Gajda, Janusz ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

ANOMALOUS DIFFUSION; ASSET PRICE DYNAMICS; ASSET PRICES; BLACK-SCHOLES; BLACK-SCHOLES MODEL; FRACTIONAL FOKKER-PLANCK EQUATION; GENERAL CLASS; GEOMETRIC BROWNIAN MOTION; INFINITELY DIVISIBLE; INFINITELY DIVISIBLE DISTRIBUTIONS; MARTINGALE MEASURES; MONTE CARLO SIMULATION; PUT OPTIONS; STABLE DISTRIBUTIONS; SUBORDINATORS; WAITING TIME;

BROWNIAN MOVEMENT; COSTS; MONTE CARLO METHODS;

INVESTMENTS;

EID: 84861498544     PISSN: 05874254     EISSN: None     Source Type: Journal    
DOI: 10.5506/APhysPolB.43.1093     Document Type: Article

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