A closed-form approximation for the fractional Black-Scholes model with transaction costs (Q2629413): Difference between revisions

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-.1016/j.camwa.2013.04.006
@@ Property / DOI: 10.1016/j.camwa.2013.04.006 / rank @@
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+Fractional Brownian Motions, Fractional Noises and Applications
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+The Pricing of Options and Corporate Liabilities
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+Arbitrage with Fractional Brownian Motion
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+Tolerance to arbitrage
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+Arbitrage in fractional Brownian motion models
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
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+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
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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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+Variational iteration method -- a kind of non-linear analytical technique: Some examples
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+Variational iteration method for solving nonlinear boundary value problems
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+Application of variational iteration method and homotopy-perturbation method for nonlinear heat diffusion and heat transfer equations
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+Application of He's variational iteration method for solving the reaction-diffusion equation with ecological parameters
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+Homotopy perturbation method: a new nonlinear analytical technique
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+Q5014971
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+A general version of the fundamental theorem of asset pricing
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@@ Property / DOI @@
+.1016/J.CAMWA.2013.04.006
@@ Property / DOI: 10.1016/J.CAMWA.2013.04.006 / rank @@
+Normal rank