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.

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Year of publication:	2015-03
Authors:	Kleinert, Hagen ; Korbel, Jan
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011206310