Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market (Q2098668): Difference between revisions

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-Ji'an Wang
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+Ji'an Wang
@@ Property / author: Ji'an Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.chaos.2022.111895
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+W4212913796
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
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+Q3433874
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+A computational method to price with transaction costs under the nonlinear Black-Scholes model
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+Robust and accurate construction of the local volatility surface using the Black-Scholes equation
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
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+GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
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+A comparison study of ADI and operator splitting methods on option pricing models
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+Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
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+Pricing of basket options in subdiffusive fractional Black-Scholes model
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@@ Property / cites work @@
+A practical finite difference method for the three-dimensional Black-Scholes equation
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@@ links / mardi / name / links / mardi / name @@
+Publication:2098668