Option Pricing in Subdiffusive Bachelier Model
نویسندگان
چکیده
منابع مشابه
Option Pricing in Subdiffusive Bachelier Model
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 not change. We introduce a subdiffusive arithme...
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ژورنال
عنوان ژورنال: Journal of Statistical Physics
سال: 2011
ISSN: 0022-4715,1572-9613
DOI: 10.1007/s10955-011-0310-z