Numerically pricing nonlinear time-fractional Black-Scholes equation with time-dependent parameters under transaction costs
Year of publication: |
2022
|
---|---|
Authors: | Rezaei, M. ; Yazdanian, A. R. ; Ashrafi, A. ; Mahmoudi, S. M. |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 1, p. 243-280
|
Subject: | Implicit difference scheme | Nonlinear equation | Stability and convergence | Time-fractional Black–Scholes equation | Transaction cost | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Nichtlineare Regression | Nonlinear regression |
-
Nteumagné, B. F., (2014)
-
Kolokolʹcov, Vassilij N., (2013)
-
Analytical and numerical solutions for a special nonlinear equation
Fard, Hossein Sahebi, (2024)
- More ...
-
Hanafizadeh, P., (2008)
-
Rezaei, M., (2017)
-
Rezaei, M., (2015)
- More ...