Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion

Hagen Kleinert and Jan Korbel

Papers from arXiv.org

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.

Date: 2015-03, Revised 2016-03
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Published in Physica A 449, 2016, 200-214

Downloads: (external link)
http://arxiv.org/pdf/1503.05655 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1503.05655

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().