Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (Q3190718)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative |
scientific article |
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Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (English)
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19 September 2014
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fractional partial differential equation
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closed-form analytical solution
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put-call parity
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