Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591)
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scientific article; zbMATH DE number 7547464
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| English | Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives |
scientific article; zbMATH DE number 7547464 |
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Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (English)
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24 June 2022
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American option
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FMLS model
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fractional partial differential equation
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convexity of option prices
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impact of fat tails
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0.8461047410964966
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0.828971266746521
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0.811271071434021
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