69 citations · 254 across the 18 of their papers we have counts for
3 papers · 1 filter
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
Foad Shokrollahi, Marcin Marcin Magdziarz
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short…
First passage time moments of asymmetric Lévy flights
Amin Padash, Aleksei V. Chechkin, Bartłomiej Dybiec +3
We investigate the first-passage dynamics of symmetric and asymmetric Lévy flights in a semi-infinite and bounded intervals. By solving the space-fractional diffusion equation, we…
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
Grzegorz Krzyżanowski, Marcin Magdziarz
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fr…