69 citations · 254 across the 18 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
cs.CE2019★ 23 cited
A weighted finite difference method for subdiffusive Black Scholes Model
Grzegorz Krzyżanowski, Marcin Magdziarz, Łukasz Płociniczak
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in…
cond-mat.stat-mech2019★ 31 cited
Codifference can detect ergodicity breaking and non-Gaussianity
Jakub Slezak, Ralf Metzler, Marcin Magdziarz
We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of…