Generalised class of time fractional black Scholes equation and numerical analysis
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Publication:2319595
DOI10.3934/dcdss.2019028zbMath1422.91680MaRDI QIDQ2319595
Abdon Atangana, Rodrigue Gnitchogna Batogna
Publication date: 20 August 2019
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2019028
Caputo-Fabrizio fractional derivative; time fractional Black-Scholes model; fractional option pricing
91G60: Numerical methods (including Monte Carlo methods)
26A33: Fractional derivatives and integrals
91G20: Derivative securities (option pricing, hedging, etc.)