Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/298577 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Working Paper No. 1/2024
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM are time-changed by an inverted inverse Gaussian (IG) subordinator. We explore the correlation structure of the subdiffusive GBM stock returns process, discuss option pricing techniques based on the fractal Dupire equation, and demonstrate how it applies in the case of the IG subordinator.
Schlagwörter: 
Option pricing
Subdiffusion models
Subordinator
Inversesubordinator
Time-changed process
Hitting time
JEL: 
C02
C53
G12
Dokumentart: 
Working Paper

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