Approximate-analytical solution to the information measure's based quanto option pricing model

DOI10.1016/J.CHAOS.2021.111493MaRDI QIDQ2171444zbMATH OpenOpenAlexFDO

Authors Luckshay Batra, H. C. Taneja

Publication date 9 September 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2021.111493

zbMATH Keywords

Black-Scholes equationKullback relative informationLaplace homotopy perturbation methodLiouville-Caputo fractional derivativequanto option pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A different approach to the European option pricing model with new fractional operator
• A new kind of parallel finite difference method for the quanto option pricing model
• A quantitative approach to fractional option pricing problems with decomposition series
• Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
• Computing eigenelements of boundary value problems with fractional derivatives
• Homotopy perturbation method for bifurcation of nonlinear problems
• Homotopy perturbation technique
• Numerical method for solving diffusion-wave phenomena
• On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach
• On Information and Sufficiency
• Role of noise in a market model with stochastic volatility
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Some notes on using the homotopy perturbation method for solving time-dependent differential equations
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

Cited in

(2)

• On a statistical information measure for a generalized Samuelson-Black-Scholes model
• A double fuzzy heat kernel framework for NIFTY 50 index options under epistemic ambiguity

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