Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their admixture to a portfolio of stocks provides a more reliable hedge against dramatic price drops than the use of options whose prices were fixed by the Black-Scholes formula.
Year of publication: |
2015-03
|
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Authors: | Kleinert, Hagen ; Korbel, Jan |
Institutions: | arXiv.org |
Saved in:
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