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price subdiffusive European call and put options by using Monte Carlo approach is presented. …
Persistent link: https://www.econbiz.de/10010626147
In this paper we consider a generalization of one of the earliest models of an asset price, namely the Black–Scholes model, which captures the subdiffusive nature of an asset price dynamics. We introduce the geometric Brownian motion time-changed by infinitely divisible inverse subordinators,...
Persistent link: https://www.econbiz.de/10010626152