Matches in SemOpenAlex for { <https://semopenalex.org/work/W2019967240> ?p ?o ?g. }
Showing items 1 to 80 of
80
with 100 items per page.
- W2019967240 abstract "Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Levy process. This is done to incorporate rare or extreme events not captured by Gaussian models. Of those financial models proposed, the most interesting include the CGMY, KoBoL and FMLS. All of these capture some of the most important characteristics of the dynamics of stock prices. In this article we show that for these particular Levy processes, the prices of financial derivatives, such as European-style options, satisfy a fractional partial differential equation (FPDE). As an application, we use numerical techniques to price exotic options, in particular barrier options, by solving the corresponding FPDEs derived." @default.
- W2019967240 created "2016-06-24" @default.
- W2019967240 creator A5040951539 @default.
- W2019967240 date "2006-01-01" @default.
- W2019967240 modified "2023-09-23" @default.
- W2019967240 title "Fractional Diffusion Models of Option Prices in Markets With Jumps" @default.
- W2019967240 cites W1480459000 @default.
- W2019967240 cites W1489605740 @default.
- W2019967240 cites W1515722929 @default.
- W2019967240 cites W1531532214 @default.
- W2019967240 cites W1558904529 @default.
- W2019967240 cites W1975760144 @default.
- W2019967240 cites W2006359060 @default.
- W2019967240 cites W2008131159 @default.
- W2019967240 cites W2039324033 @default.
- W2019967240 cites W2048421273 @default.
- W2019967240 cites W2056734297 @default.
- W2019967240 cites W2057116804 @default.
- W2019967240 cites W2108593249 @default.
- W2019967240 cites W2111271983 @default.
- W2019967240 cites W2116919581 @default.
- W2019967240 cites W2138540172 @default.
- W2019967240 cites W2142278738 @default.
- W2019967240 cites W2147994618 @default.
- W2019967240 cites W2744463887 @default.
- W2019967240 cites W2764917663 @default.
- W2019967240 cites W3101071406 @default.
- W2019967240 cites W4240272609 @default.
- W2019967240 cites W4247340585 @default.
- W2019967240 cites W67284852 @default.
- W2019967240 doi "https://doi.org/10.2139/ssrn.934809" @default.
- W2019967240 hasPublicationYear "2006" @default.
- W2019967240 type Work @default.
- W2019967240 sameAs 2019967240 @default.
- W2019967240 citedByCount "7" @default.
- W2019967240 countsByYear W20199672402013 @default.
- W2019967240 countsByYear W20199672402014 @default.
- W2019967240 countsByYear W20199672402015 @default.
- W2019967240 countsByYear W20199672402021 @default.
- W2019967240 crossrefType "journal-article" @default.
- W2019967240 hasAuthorship W2019967240A5040951539 @default.
- W2019967240 hasBestOaLocation W20199672402 @default.
- W2019967240 hasConcept C106159729 @default.
- W2019967240 hasConcept C121332964 @default.
- W2019967240 hasConcept C149782125 @default.
- W2019967240 hasConcept C162324750 @default.
- W2019967240 hasConcept C2779664328 @default.
- W2019967240 hasConcept C2780695682 @default.
- W2019967240 hasConcept C62520636 @default.
- W2019967240 hasConcept C69357855 @default.
- W2019967240 hasConcept C97355855 @default.
- W2019967240 hasConceptScore W2019967240C106159729 @default.
- W2019967240 hasConceptScore W2019967240C121332964 @default.
- W2019967240 hasConceptScore W2019967240C149782125 @default.
- W2019967240 hasConceptScore W2019967240C162324750 @default.
- W2019967240 hasConceptScore W2019967240C2779664328 @default.
- W2019967240 hasConceptScore W2019967240C2780695682 @default.
- W2019967240 hasConceptScore W2019967240C62520636 @default.
- W2019967240 hasConceptScore W2019967240C69357855 @default.
- W2019967240 hasConceptScore W2019967240C97355855 @default.
- W2019967240 hasLocation W20199672401 @default.
- W2019967240 hasLocation W20199672402 @default.
- W2019967240 hasLocation W20199672403 @default.
- W2019967240 hasLocation W20199672404 @default.
- W2019967240 hasOpenAccess W2019967240 @default.
- W2019967240 hasPrimaryLocation W20199672401 @default.
- W2019967240 hasRelatedWork W1522504334 @default.
- W2019967240 hasRelatedWork W1973538245 @default.
- W2019967240 hasRelatedWork W2030617584 @default.
- W2019967240 hasRelatedWork W2051717851 @default.
- W2019967240 hasRelatedWork W2056210026 @default.
- W2019967240 hasRelatedWork W2161519270 @default.
- W2019967240 hasRelatedWork W3126098922 @default.
- W2019967240 hasRelatedWork W3149328373 @default.
- W2019967240 hasRelatedWork W331667891 @default.
- W2019967240 hasRelatedWork W2142213187 @default.
- W2019967240 isParatext "false" @default.
- W2019967240 isRetracted "false" @default.
- W2019967240 magId "2019967240" @default.
- W2019967240 workType "article" @default.