Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (Q3190718)
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scientific article; zbMATH DE number 6346188
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| English | Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative |
scientific article; zbMATH DE number 6346188 |
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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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0.8461047410964966
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0.8335999250411987
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0.8003283739089966
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0.7978578805923462
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0.7963406443595886
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