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Search: subject:"Fractional Black–Scholes"
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Black-Scholes model
15
Black-Scholes-Modell
15
Option pricing theory
13
Optionspreistheorie
13
Stochastic process
12
Stochastischer Prozess
12
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5
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fractional Brownian motion
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fractional Black-Scholes market
4
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quasiconditional expectation
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Block-pulse operational matrix method
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Riemann-Liouville fractional derivative
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fractional Black-Scholes equation
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mathematical finance
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3
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del-Castillo-Negrete, Diego
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
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Computational economics
8
Advances in Economic and Financial Research - DOFIN Working Paper Series
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1
Derivation and application of some
fractional
black-scholes
equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
Lie symmetry analysis and exact solutions of time
fractional
Black-Scholes
equation
Yu, Jicheng
;
Feng, Yuqiang
;
Wang, Xianjia
- In:
International journal of financial engineering
9
(
2022
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014234394
Saved in:
3
Lie symmetry, exact solutions and conservation laws of bi-
fractional
Black-Scholes
equation derived by the fractional G-Brownian motion
Yu, Jicheng
;
Feng, Yuqiang
;
Wang, Xianjia
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014521387
Saved in:
4
An efficient numerical scheme to approach the time
fractional
Black-Scholes
model using orthogonal gegenbauer polynomials
Aghdam, Y. Esmaeelzade
;
Mesgarani, H.
;
Amin, A.
; …
- In:
Computational economics
64
(
2024
)
1
,
pp. 211-224
Persistent link: https://www.econbiz.de/10015078017
Saved in:
5
A hybrid spectral-finite difference method for numerical pricing of time-
fractional
Black-Scholes
equation
Mollahasani, Nasibeh
- In:
Computational economics
64
(
2024
)
2
,
pp. 841-869
Persistent link: https://www.econbiz.de/10015078067
Saved in:
6
The convergence analysis of the numerical calculation to price the time-
fractional
black-scholes
model
Mesgarani, H.
;
Bakhshandeh, M.
;
Aghdam, Y. Esmaeelzade
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
Saved in:
7
Numerical approximation to a variable-order time-
fractional
Black-Scholes
model with applications in option pricing
Zhang, Meihui
;
Zheng, Xiangcheng
- In:
Computational economics
62
(
2023
)
3
,
pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Saved in:
8
Numerically pricing nonlinear time-
fractional
Black-Scholes
equation with time-dependent parameters under transaction costs
Rezaei, M.
;
Yazdanian, A. R.
;
Ashrafi, A.
;
Mahmoudi, S. M.
- In:
Computational economics
60
(
2022
)
1
,
pp. 243-280
Persistent link: https://www.econbiz.de/10013262670
Saved in:
9
The effectiveness of a predictor-corrector technique in European currency option valuation
Heo, Sangwoo
;
Yang, Jinsuk
;
Lim, SeungCheol
; …
- In:
Global Business & Finance Review (GBFR)
24
(
2019
)
4
,
pp. 1-7
Persistent link: https://www.econbiz.de/10012286688
Saved in:
10
The effectiveness of a predictor-corrector technique in European currency option valuation
Heo, Sangwoo
;
Yang, Jinsuk
;
Lim, SeungCheol
; …
- In:
Global business and finance review
24
(
2019
)
4
,
pp. 1-7
Persistent link: https://www.econbiz.de/10012161859
Saved in:
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