Pricing of basket options in subdiffusive fractional Black-Scholes model (Q1677776)
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scientific article; zbMATH DE number 6806335
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| English | Pricing of basket options in subdiffusive fractional Black-Scholes model |
scientific article; zbMATH DE number 6806335 |
Statements
Pricing of basket options in subdiffusive fractional Black-Scholes model (English)
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13 November 2017
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Black-Scholes model
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subdiffusion
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basket options
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stable process
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0.8938024044036865
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0.8372442126274109
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0.804731547832489
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0.7989060282707214
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0.7945452928543091
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