Analytically pricing double barrier options based on a time-fractional Black-Scholes equation (Q2007174)
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scientific article; zbMATH DE number 7259710
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| English | Analytically pricing double barrier options based on a time-fractional Black-Scholes equation |
scientific article; zbMATH DE number 7259710 |
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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation (English)
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12 October 2020
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fractional partial differential equation
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closed-form analytical solution
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double barrier options
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0.8717853426933289
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0.8335999250411987
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0.830876350402832
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0.8273358345031738
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0.8251711130142212
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