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Optionspreistheorie
Fractional Fokker–Planck equation
7
Subdiffusive bistable systems
2
fractional Fokker–Planck equation
2
Aging
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Aperiodic stochastic resonance
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Bistable system
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Black-Scholes model
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CEV
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Comb-like structure
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Complex fractional moments
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Continuous-time random walks
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Fokker–Planck equation
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Fractional Fokker–Planck equation with sinks
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Gibbs–Boltzmann equillibrium
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Langevin equation
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Lévy flights
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Lévy noise
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Nonlinear systems
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Option pricing theory
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Random walks
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Stable initial conditions
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Stochastic resonance
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Subdiffusion
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The operator method
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alpha-stable distribution
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eigenfunction expansion
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martingale measure
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optionpricing
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time-changed Brownian motion
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α-stable white noise
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Liu, Allen
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Tong, Kevin Z.
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International journal of financial engineering
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Option pricing in a subdiffusive constant elasticity of variance (CEV) model
Tong, Kevin Z.
;
Liu, Allen
- In:
International journal of financial engineering
6
(
2019
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012167519
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