Subdiffusive option price model with inverse Gaussian subordinator

The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM are time-changed by an inverted inverse Gaussian (IG) subordinator. We explore the correlation structure of the subdiffusive GBM stock returns process, discuss option pricing techniques based on the fractal Dupire equation, and demonstrate how it applies in the case of the IG subordinator.