Subdiffusive option price model with Inverse Gaussian subordinator

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dc.contributor.authorShchestyuk, Nataliya en_US
dc.contributor.authorTyshchenko, Serhii en_US
dc.date.accessioned2025-01-29T07:20:14Z
dc.date.available2025-01-29T07:20:14Z
dc.date.issued2024
dc.description.abstractThe paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is a quite common situation in modern illiquid financial markets or during global crises. In the model, the riskfree bond motion and classical geometrical Brownian motion (GBM) are time-changed by an inverted inverse Gaussian(IG) subordinator. We explore the correlation structure of the subdiffusive GBM stock returns process, discuss option pricing techniques based on the martingale option pricing method and the fractal Dupire equation, and demonstrate how it applies in the case of the IG subordinator. en_US
dc.identifier.citationShchestyuk N. Subdiffusive option price model with Inverse Gaussian subordinator / Nataliya Shchestyuk, Sergii Tyshchenko // Modern Stochastics: Theory and Applications. - 2024. - P. 1-18. - https://doi.org/10.15559/24-VMSTA265 en_US
dc.identifier.issn2351-6054
dc.identifier.issn2351-6046
dc.identifier.urihttps://doi.org/10.15559/24-VMSTA265
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/33361
dc.language.isoen en_US
dc.relation.sourceModern Stochastics: Theory and Applications en_US
dc.statusfirst published en_US
dc.subjectoption pricing en_US
dc.subjectsubdiffusion models en_US
dc.subjectsubordinator en_US
dc.subjectinverse subordinator en_US
dc.subjecttime-changed process en_US
dc.subjecthitting time en_US
dc.subjectarticle en_US
dc.titleSubdiffusive option price model with Inverse Gaussian subordinator en_US
dc.typeArticle en_US
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