Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
classification
💱 q-fin.RM
keywords
black-scholesdouble-fractionaloptionspricesbeyonddetermineddifferentialdiffusion
read the original abstract
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 that the use of options whose prices were fixed by the Black-Scholes formula.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.