Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
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Publication:2007174
DOI10.1016/J.CAMWA.2015.03.025zbMATH Open1443.91285OpenAlexW2143623732MaRDI QIDQ2007174FDOQ2007174
Xiang Xu, Wen-Ting Chen, Song-Ping Zhu
Publication date: 12 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.03.025
Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) Fractional partial differential equations (35R11)
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