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math.NA2021
A tempered subdiffusive Black-Scholes model
Grzegorz Krzyżanowski, Marcin Magdziarz
In this paper, we focus on the tempered subdiffusive Black-Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option p…
math.NA2021
About subordinated generalizations of 3 classical models of option pricing
Michał Balcerek, Grzegorz Krzyżanowski, Marcin Magdziarz
In this paper, we investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models, in contrast to their cl…