Pricing Path-Independent Payoffs with Exotic Features in the Fractional Diffusion Model

Pricing Path-Independent Payoffs with Exotic Features in the Fractional Diffusion Model

We provide several practical formulas for pricing path-independent exotic instruments (log options and log contracts, digital options, gap options, power options with or without capped payoffs …) in the context of the fractional diffusion model. This model combines a tail parameter governed by the s...

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Bibliographic Details
Main Author: Jean-Philippe Aguilar
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Fractal and Fractional
Subjects:
fractional diffusion equation
subordination
exotic options
volatility modeling
Online Access:https://www.mdpi.com/2504-3110/4/2/16

Internet

https://www.mdpi.com/2504-3110/4/2/16

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