Option pricing beyond Black-Scholes based on double-fractional diffusion
Option pricing beyond Black-Scholes based on double-fractional diffusion
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DOI：
10.1016/j.physa.2015.12.125
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发表时间：
2016-05-01
影响因子：
3.3
通讯作者：
Korbel, J.
中科院分区：
文献类型：
--
作者：
Kleinert, H.;Korbel, J.
我们展示了如何借助双分数微分方程来确定期权的价格，从而将其包含在股票投资组合中，比使用价格由布莱克-斯科尔斯公式固定的期权更可靠地对冲价格大幅下跌。 (C) 2016 Elsevier B.V. 保留所有权利。
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. (C) 2016 Elsevier B.V. All rights reserved.