scientific article; zbMATH DE number 6452524
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Publication:5257012
zbMath1324.91074MaRDI QIDQ5257012
Publication date: 29 June 2015
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
linear complementarity problemAmerican optionsnumerical discretizationEuropean optionsfractional partial differential equation
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) 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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A space-time fractional derivative model for European option pricing with transaction costs in fractal market ⋮ A semianalytical solution of the fractional derivative model and its application in financial market
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