Option pricing in a subdiffusive constant elasticity of variance (CEV) model
Year of publication: |
2019
|
---|---|
Authors: | Tong, Kevin Z. ; Liu, Allen |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 2, p. 1-21
|
Subject: | Subdiffusion | CEV | fractional Fokker–Planck equation | eigenfunction expansion | optionpricing | Optionspreistheorie | Option pricing theory |
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