Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
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Publication:1959131
DOI10.1007/s10690-009-9102-8zbMath1195.91163OpenAlexW2050128975MaRDI QIDQ1959131
Publication date: 6 October 2010
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9102-8
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense ⋮ A difference method with parallel nature for solving time-space fractional Black-Scholes model ⋮ Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method ⋮ Approximate-analytical solution to the information measure's based quanto option pricing model ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ A universal difference method for time-space fractional Black-Scholes equation ⋮ On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform ⋮ On Black–Scholes option pricing model with stochastic volatility: an information theoretic approach ⋮ An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels
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