Numerical solution of time-fractional Black-Scholes equation (Q1699377): Difference between revisions

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+Computational Methods for Option Pricing
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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
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+Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
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+Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
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+Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
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