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

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.

preprint2016arXivOpen access
Hagen KleinertJan Korbel
q-fin.RM
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Open access2 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Hagen KleinertJan Korbel

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