Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
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Publication:3190718
DOI10.1090/S0033-569X-2014-01373-2zbMath1299.91139MaRDI QIDQ3190718
Wen-Ting Chen, Xiang Xu, Song-Ping Zhu
Publication date: 19 September 2014
Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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Cites Work
- How Duration Between Trades of Underlying Securities Affects Option Prices*
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Derivatives pricing with marked point processes using tick-by-tick data
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
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