A universal difference method for time-space fractional Black-Scholes equation (Q1796725): Difference between revisions

@@ Property / author @@
-Xiao-zhong Yang
@@ Property / author: Xiao-zhong Yang / rank @@
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@@ Property / author @@
-Shu-Zhen Sun
@@ Property / author: Shu-Zhen Sun / rank @@
-Normal rank
@@ Property / author @@
+Xiao-zhong Yang
@@ Property / author: Xiao-zhong Yang / rank @@
+Normal rank
@@ Property / author @@
+Shu-Zhen Sun
@@ Property / author: Shu-Zhen Sun / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1186/s13662-016-0792-8
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+W2294758632
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+Mathematical models of financial derivatives
@@ Property / cites work: Mathematical models of financial derivatives / rank @@
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+Q3630867
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+Q4438488
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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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+Almost sure and moment stability properties of fractional order Black-Scholes model
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+Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Solution of the fractional Black-Scholes option pricing model by finite difference method
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@@ links / mardi / name / links / mardi / name @@
+Publication:1796725