Option Pricing in Subdiffusive Bachelier Model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Mathematical Physics,Statistical and Nonlinear Physics
Link
http://www.springerlink.com/index/pdf/10.1007/s10955-011-0310-z
Reference42 articles.
1. Bachelier, L.: Théorie de la spéculation. Ann. Éc. Norm. Super. 17, 21–86 (1900)
2. Baeumer, B., Meerschaert, M.M.: Tempered stable Lévy motion and transient super-diffusion. J. Comput. Appl. Math. 233, 2438–2448 (2010)
3. Bertoin, J.: Lévy Processes. Cambridge University Press, Cambridge (1996)
4. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–654 (1973)
5. Cartea, Á., del-Castillo-Negrete, D.: Fluid limit of the continuous-time random walk with general Lévy jump distribution functions. Phys. Rev. E 76, 041105 (2007)
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