Option Pricing under an abnormal economy: using the Square Root of the Brownian Motion
M Alghalith, WK Wong - Advances in Decision Sciences, 2022 - search.proquest.com
in general, under unusual economic states, the traditional models of options are not
suitable.[...] there is a need to consider alternative stochastic processes and models that …
suitable.[...] there is a need to consider alternative stochastic processes and models that …
A tempered subdiffusive Black–Scholes model
G Krzyżanowski, M Magdziarz - Fractional Calculus and Applied Analysis, 2024 - Springer
In this paper, we focus on the tempered subdiffusive Black–Scholes model. The main part of
our work consists of the finite difference method as a numerical approach to option pricing in …
our work consists of the finite difference method as a numerical approach to option pricing in …