A regime switching fractional Black-Scholes model and European option pricing (Q2204497)
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scientific article; zbMATH DE number 7261637
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| English | A regime switching fractional Black-Scholes model and European option pricing |
scientific article; zbMATH DE number 7261637 |
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A regime switching fractional Black-Scholes model and European option pricing (English)
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15 October 2020
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European options
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regime switching FMLS model
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FPDE Fourier cosine series expansion
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exact and explicit solution
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0.8323461413383484
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0.8178250789642334
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