scientific article

zbMath1195.35164MaRDI QIDQ3568034

Jin-Rong Liang, Jun Wang, Wen-Jun Zhang

Publication date: 17 June 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingfractional Wiener processTaylor series of fractional orderformulas for European call option

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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