Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption (Q5193440): Difference between revisions
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scientific article; zbMATH DE number 7103223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption |
scientific article; zbMATH DE number 7103223 |
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Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption (English)
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10 September 2019
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fractional calculus
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nonlinear Black-Scholes model
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illiquid market
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option pricing
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MDTM
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