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  • Search: subject:"fractional Fokker–Planck equation"
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Year of publication
Subject
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Black-Scholes model 2 martingale measure 2 time-changed Brownian motion 2 Monte Carlo simulation 1 alpha-stable distribution 1 constant periods 1 fractional Fokker-Planck Equation 1 fractional Fokker-Planck equation 1 fractional Fokker–Planck equation 1 option price 1 stock prices 1 subdiffusion 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Language
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Undetermined 3
Author
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Gajda, Janusz 1 Janczura, Joanna 1 Magdziarz, Marcin 1 Orzel, Sebastian 1 Weron, Aleksander 1 Wyłomańska, Agnieszka 1
Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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HSC Research Reports 2 MPRA Paper 1
Source
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RePEc 3
Showing 1 - 3 of 3
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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
distributions. We find the corresponding Fractional Fokker–Planck equation governing the probability density function of the …
Persistent link: https://www.econbiz.de/10010626152
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Calibration of the subdiffusive Black–Scholes model
Orzel, Sebastian; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2009
In this paper we discuss subdiffusive mechanism for the description of some stock markets. We analyse the fractional Black–Scholes model in which the price of the underlying instrument evolves according to the subdiffusive geometric Brownian motion. We show how to efficiently estimate the...
Persistent link: https://www.econbiz.de/10010626147
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Subdynamics of financial data from fractional Fokker-Planck equation
Janczura, Joanna; Wyłomańska, Agnieszka - Volkswirtschaftliche Fakultät, … - 2009
the fractional Fokker-Planck equation. In this paper we model market data using subdiffusion with a constant force. We …
Persistent link: https://www.econbiz.de/10009019724
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