European Option Pricing Model with Underlying Asset Following Subdiffusion Process
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F15%3A43928738" target="_blank" >RIV/49777513:23510/15:43928738 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
European Option Pricing Model with Underlying Asset Following Subdiffusion Process
Original language description
The chapter is organized in the following way. First, the introduction brings short overview of the standard Black-Scholes model and some reference titles thereon. Next, we give an advanced option pricing model with underlying asset following subdiffusion process which was recently published in literature. In the following section, we give details of our numerical realization of that advanced model in Mathematica together with some numerical results, which we have got using our code.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA15-20405S" target="_blank" >GA15-20405S: Modelling of processes on financial markets and prediction of firm default by real options</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
ADVANCED METHODS OF QUANTITATIVE FINANCE
ISBN
978-80-245-2132-9
Number of pages of the result
17
Pages from-to
91-106
Number of pages of the book
118
Publisher name
Oeconomica Publishing House, University of Economics, Prague
Place of publication
Praha
UT code for WoS chapter
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