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~person:"Gajda, Janusz"
~person:"Orzel, Sebastian"
~subject:"fractional Fokker–Planck equation"
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fractional Fokker–Planck equation
Alpha-stable distribution
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Black-Scholes model
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Gajda, Janusz
Orzel, Sebastian
Magdziarz, Marcin
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
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Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators
Magdziarz, Marcin
;
Gajda, Janusz
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2012
particular case of tempered
alpha-stable
distribution
of waiting times. We compare obtained results with the classical and …
Persistent link: https://www.econbiz.de/10010626152
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