Speculative option valuation and the fractional diffusion equation

[1]  Enrico Scalas,et al.  Waiting-times and returns in high-frequency financial data: an empirical study , 2002, cond-mat/0203596.

[2]  R. Gorenflo,et al.  Fractional calculus and continuous-time finance , 2000, cond-mat/0001120.

[3]  S. James Press,et al.  A Compound Events Model for Security Prices , 1967 .

[4]  William Feller,et al.  An Introduction to Probability Theory and Its Applications , 1967 .

[5]  E. Montroll,et al.  Random Walks on Lattices. II , 1965 .

[6]  E. Fama.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[7]  Enrico Scalas,et al.  Uncoupled continuous-time random walks: Solution and limiting behavior of the master equation. , 2004, Physical review. E, Statistical, nonlinear, and soft matter physics.

[8]  R. Gorenflo,et al.  Fractional calculus and continuous-time finance II: the waiting-time distribution , 2000, cond-mat/0006454.

[9]  Alexander I. Saichev,et al.  Fractional kinetic equations: solutions and applications. , 1997, Chaos.

[10]  E. Fama,et al.  Efficient Capital Markets : II , 2007 .

[11]  Enrico Scalas,et al.  Fractional Calculus and Continuous-Time Finance III : the Diffusion Limit , 2001 .

[12]  Enrico Scalas,et al.  REVISITING THE DERIVATION OF THE FRACTIONAL DIFFUSION EQUATION , 2003 .

[13]  Melvin Lax,et al.  Stochastic Transport in a Disordered Solid. I. Theory , 1973 .

[14]  E. Montroll.  Random walks on lattices , 1969 .

[15]  Michael Parkinson,et al.  Option Pricing: The American Put , 1977 .

[16]  Hans-Peter Scheffler,et al.  Governing equations and solutions of anomalous random walk limits. , 2002, Physical review. E, Statistical, nonlinear, and soft matter physics.