Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.
Limit theo- rems for continuous-time random walks with infinite mean waiting times
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Option prices from operational-time reaction-boundary lattices
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.