A Second Order Numerical Scheme for Fractional Option Pricing Models (Q5014265): Difference between revisions
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Property / cites work: A Black--Scholes option pricing model with transaction costs / rank | |||
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Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Property / cites work: Stochastic Volatility for Lévy Processes / rank | |||
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Property / cites work: The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation / rank | |||
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Property / cites work: European Option Pricing with Transaction Costs / rank | |||
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Revision as of 08:55, 27 July 2024
scientific article; zbMATH DE number 7437357
Language | Label | Description | Also known as |
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English | A Second Order Numerical Scheme for Fractional Option Pricing Models |
scientific article; zbMATH DE number 7437357 |
Statements
A Second Order Numerical Scheme for Fractional Option Pricing Models (English)
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1 December 2021
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Lévy process
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fractional partial differential equation
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option pricing
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finite difference
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stock index option
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