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

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scientific article

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English	A space-time fractional derivative model for European option pricing with transaction costs in fractal market	scientific article

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scholarly article

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A space-time fractional derivative model for European option pricing with transaction costs in fractal market (English)

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Chaos, Solitons and Fractals

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publication date

24 November 2017

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zbMATH Keywords

fractional differential equation

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option pricing

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approximate solution

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transaction cost

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.chaos.2017.05.043

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European Option Pricing with Transaction Costs

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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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Pricing currency options in the mixed fractional Brownian motion

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A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion

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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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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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A comparison of numerical solutions of fractional diffusion models in finance

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Solution of the fractional Black-Scholes option pricing model by finite difference method

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Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

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A review of the decomposition method in applied mathematics

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Solving frontier problems of physics: the decomposition method

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Approximate rational Jacobi elliptic function solutions of the fractional differential equations via the enhanced Adomian decomposition method

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A new improved Adomian decomposition method and its application to fractional differential equations

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Notes on the homotopy analysis method: some definitions and theorems

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An optimal homotopy-analysis approach for strongly nonlinear differential 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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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CHAOS.2017.05.043

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Sitelinks

Mathematics(1 entry)

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