Option pricing beyond Black-Scholes based on double-fractional diffusion

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F16%3A00236507" target="_blank" >RIV/68407700:21340/16:00236507 - isvavai.cz</a>

Result on the web

<a href="http://www.sciencedirect.com/science/article/pii/S0378437115011620" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0378437115011620</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2015.12.125" target="_blank" >10.1016/j.physa.2015.12.125</a>

Result language

angličtina

Original language name

Option pricing beyond Black-Scholes based on double-fractional diffusion

Original language description

We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BJ - Thermodynamics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Physica A: Statistical Mechanics and Its Applications

ISSN

0378-4371

e-ISSN

—

Volume of the periodical

449

Issue of the periodical within the volume

449

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

15

Pages from-to

200-214

UT code for WoS article

000370898000018

EID of the result in the Scopus database

2-s2.0-84961288073