Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives |
scientific article |
Statements
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (English)
0 references
24 June 2022
0 references
American option
0 references
FMLS model
0 references
fractional partial differential equation
0 references
convexity of option prices
0 references
impact of fat tails
0 references
