Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process. [PDF]
Traditional dynamic hedging strategies are based on local information (ie Delta and Gamma) of the financial instruments to be hedged. We propose a new dynamic hedging strategy that employs non-local information and compare the profit and loss (P&L ...
Cartea, Álvaro
core
Numerical methods for fractional Black-Scholes equations and their applications to option pricing [PDF]
, 2023 Xingyu An
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Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]
Entropy (Basel), 2023 Nowak P, Pawłowski M.
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Option pricing beyond Black–Scholes based on double-fractional diffusion [PDF]
, 2016 H. Kleinert, Jan Korbel
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An efficient wavelet method for the time‐fractional Black–Scholes equations [PDF]
Boonrod Yuttanan +2 more
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Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]
PLoS One, 2023 Shafiq M +5 more
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Stability analysis of stochastic systems with fractional dynamics
Journal of Low Frequency Noise, Vibration and Active ControlThis paper investigates the stability properties of stochastic functional differential equations driven by fractional Brownian motion (FBM), a natural extension of classical Brownian motion that incorporates memory effects through the Hurst parameter. By
Nabil A. Ibrahim +5 more
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An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]
Soft comput, 2023 Avazzadeh Z +5 more
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OPTIMAL PORTFOLIO IN A FRACTIONAL BLACK & SCHOLES MARKET
, 2000 Yaozhong Hu +2 more
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