Pages that link to "Item:Q2629413"
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The following pages link to A closed-form approximation for the fractional Black-Scholes model with transaction costs (Q2629413):
Displaying 9 items.
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (Q1634384) (← links)
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market (Q1681657) (← links)
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
- A robust numerical solution to a time-fractional Black-Scholes equation (Q2166825) (← links)
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model (Q2656030) (← links)
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (Q5025469) (← links)
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
- Option pricing under time interval driven model (Q6171877) (← links)
