Time-changed geometric fractional Brownian motion and option pricing with transaction costs-Reference-Cited by-同舟云学术

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Time-changed geometric fractional Brownian motion and option pricing with transaction costs

Published:2012-08 Issue:15 Volume:391 Page:3971-3977
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Gu Hui,Liang Jin-Rong,Zhang Yun-Xiu

Funder

Natural Science Foundation of Shanghai

Shanghai Leading Academic Discipline Project

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference26 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. Black–Scholes formula in subdiffusive regime;Magdziarz;Journal of Statistical Physics,2009

3. Fractional calculus and continuous-time finance;Scalas;Physica A,2000

4. Fractional calculus and continuous-time finance II: the waiting-time distribution;Mainardi;Physica A,2000

5. Stochastic modeling in nanoscale biophysics: subdiffusion within proteins;Kou;Annals of Applied Statistics,2008

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