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

被引：40

作者：

Kleinert, H. ^{[1
,2
]}

Korbel, J. ^{[3
,4
]}

机构：

[1] Free Univ Berlin, Inst Theoret Phys, Arnimallee 14, D-14195 Berlin, Germany

[2] ICRANeT Piazzale Repubbl, I-1065122 Pescara, Italy

[3] Czech Tech Univ, Fac Nucl Sci & Phys Engn, Brehova 7, CR-11519 Prague, Czech Republic

[4] Max Planck Inst Hist Sci, Boltzmannstr 22, D-14195 Berlin, Germany

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 449卷

关键词：

Double-fractional diffusion; Levy option pricing; Risk redistribution;

D O I：

10.1016/j.physa.2015.12.125

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：200 / 214

页数：15

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