Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
Risk Management
2016-03-11 v2
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.
Keywords
Cite
@article{arxiv.1503.05655,
title = {Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion},
author = {Hagen Kleinert and Jan Korbel},
journal= {arXiv preprint arXiv:1503.05655},
year = {2016}
}
Comments
16 pages, 5 figures