Black-Scholes like closed form formulas and numerical solutions for American style options

DOI10.1016/j.physa.2020.124379OpenAlexW3015434960MaRDI QIDQ2136812

Fredrick Michael

Publication date: 12 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.124379

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models

Uses Software

• Wolfram Demonstrations

Cites Work

• The Fokker-Planck equation. Methods of solution and applications
• Nonextensive statistical mechanics and economics

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