A space-time fractional derivative model for European option pricing with transaction costs in fractal market (Q1681657): Difference between revisions

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-.1016/j.chaos.2017.05.043
@@ Property / DOI: 10.1016/j.chaos.2017.05.043 / rank @@
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+W2623729930
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+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
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+A note on Wick products and the fractional Black-Scholes model
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+A closed-form approximation for the fractional Black-Scholes model with transaction costs
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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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+A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
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+The Pricing of Options and Corporate Liabilities
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@@ Property / DOI @@
+.1016/J.CHAOS.2017.05.043
@@ Property / DOI: 10.1016/J.CHAOS.2017.05.043 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:1681657